Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Closing a loosing pair CGV:HAL, (-6.6%) however, I should have close the trade on NOV 9, but these two stocks individually, look well in a possition to have some ratio gains but I'm entering a new one MUR:EPE,
I was looking at ALY:SWSI that looks better, this pair started to turning around already but ALY is just at 3.5.
I was looking at ALY:SWSI that looks better, this pair started to turning around already but ALY is just at 3.5.
I missed going long AMD and shorting INTEL. However, I am going long ATVI Ativision and shorting GME Gamestop.
I like that ATVI is coming out with more games including StarCraft2 sometime next year that I believe will be hits.
I believe GME is going to have more competition from online used game sellers like Glyde and new game sellers like AMZN.
Instead of going long and short the stock of each company, I am buying vertical puts and vertical calls that expire later next year. My stop is the cost of the options. My goal is to either wait till expiration and sell, or see if the option moves enough points that my overall position becomes profitable in that assume my cost per vertical is $ 1 so total $ 2 since I am buying and selling 2 companies, so looking for $ 2 in total profit while risking $ 2 if that makes sense per contract. For example, if using just 1 vertical for each spread, I would risk $ 200 to make $ 200. This is an even risk vs reward and keeps my margin from getting tied up.
I like that ATVI is coming out with more games including StarCraft2 sometime next year that I believe will be hits.
I believe GME is going to have more competition from online used game sellers like Glyde and new game sellers like AMZN.
Instead of going long and short the stock of each company, I am buying vertical puts and vertical calls that expire later next year. My stop is the cost of the options. My goal is to either wait till expiration and sell, or see if the option moves enough points that my overall position becomes profitable in that assume my cost per vertical is $ 1 so total $ 2 since I am buying and selling 2 companies, so looking for $ 2 in total profit while risking $ 2 if that makes sense per contract. For example, if using just 1 vertical for each spread, I would risk $ 200 to make $ 200. This is an even risk vs reward and keeps my margin from getting tied up.
ScareySize
Guest
Pair trading= twice the leverage half the profit. It is a false sense of security. Long Xom short Cop. Xom goes up a point then down a point while Cop stays in a $.20 range during this move. Instead cut your size down and do a "unilateral pair trade". (Altucher)
I've been watching with a spreadsheet, all the trades from the PairTrade Finder Alert service since August 20, 2009. If I had taken all the trades, investing $10,000 on each side ($20,000/pair), I'd have profited $9,751 by today. (About 14 weeks).
I might have improved the performance by avoiding some trades where the ratio graph did not look good. The PTF Alert service does not look at the graphs. It appears to be simply mechanical. They are making regular refinements.
Walt B
I might have improved the performance by avoiding some trades where the ratio graph did not look good. The PTF Alert service does not look at the graphs. It appears to be simply mechanical. They are making regular refinements.
Walt B
Good info Walt. I was looking for info like this. I got a bit of a mechanical answer from Jared when I asked him.
Knowing the maximum number of open trades will indicate % return.
Adrian
I cannot easily determine the maximum number of open trades, as some were open for a day to three days, and others 20 to 30 days. But over the first months that I tracked trades, completed trades from 8/20 - 11/16 were open an average of 12 calendar days and there were 102 trades. There are currently 6 trades open. I think that is fairly typical.
How do you calculate % return from that?
Walt B
Edit: I suppose if 6 trades max are open, that's $120,000 and $10,000 profit is 8.3%. But not all of that $120K is ours because of margin. So if $80,000 is ours, the profit is now 12.5%
wb
How do you calculate % return from that?
Walt B
Edit: I suppose if 6 trades max are open, that's $120,000 and $10,000 profit is 8.3%. But not all of that $120K is ours because of margin. So if $80,000 is ours, the profit is now 12.5%
wb