Pair Trading Strategy Journal

Currently my GME short is in the money, however the lower put that I sold to offset the higher put is now costing me money so I am only positive around $ 100 per contract. However, since the stock is at $ 22/sh and the lower put is at $ 21/sh, I think I will just wait till April expiration to see what happens rather than taking a loss on one side of the vertical which may not actually cost me any money if the stock does not fall below $ 21/sh.

We will see at that time, if I made this trade too complicated. Right now, I would have made more money on either buying a simple put on GME and a call on ATVI, or just buying ATVI and shorting GME. The reason GME is down is that news came out that Wall-Mart is slashing prices of games like they are with DVD's plus less buying of games over the holidays. With ATVI selling the best game modern warfare call of duty2, they have not moved up or down much, but the good news is that their options expire in May, so if I kill the trade in April, I can still break even on the ATVI long before their options expire and make money on the GME short.

Quote from oraclewizard77:

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.
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On another note, I am long UBISOFT which is owned 20% by Electronic Arts and may also be acquired by ATVI. The reason being UBISOFT is at its 52 week low and if bought by ATVI, the price of UBISOFT will go up and ATVI will go down.

I am long actually shares instead of options since the ADR's are trading at $ 3/sh so its almost like buying an option with no time decay. I will look to at least close part of this position in April also.
 
From the Pair Trade Website. The website also has historical trades, perhaps you can match up your spreadsheet with whats posted to see if its accurate?


Last Update: Wednesday, 28th October 2009

Start Date: Thursday, 22nd January 2009


Closed Trades: 266

Wins: 202

Losses: 64

Win Rate: 75.94%

Avg Win: 2.62%

Avg Loss: 2.32%

Biggest Win: 29.35%

Biggest Loss: 9.03%

Avg Days In Trade: 8

Total Profit (Assuming 10k Invested Per Trade): $76,152.34

Quote from waltbx:

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
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Quote from knocks420:

From the Pair Trade Website. The website also has historical trades, perhaps you can match up your spreadsheet with whats posted to see if its accurate?
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Thanks, Knocks.

Yes, I wanted to do my own spread sheet and not rely on the the company to feed me their info. I was meticulous on the data I entered, finding several errors in the historical trades PTF Alerts posted. The errors were not in claimed results, but in just one or two pairs that were signaled to open, but never closed, or visa versa. Jared and I have had several emails exchanged about that. He is continuing to refine his system.

The alerts service didn't start until June or July, as I remember. The figures you quote are from the PTF Alerts web site and go back to January. The data predating June or July or so are said to be from backtesting, not real time trades. So, I picked up trades from actual alerts sent, starting August 20th, and continuing until now. I didn't want to track hypothetical trades, but actual alerts. Hence the difference in my figures from what you quote.

Walt B
 
My trades have been only moderately successful for the last several months.

I'm thinking of a new approach. Using PairTrade Finder, I'm thinking of my first filter being an RSI sort, looking for RSI above 70, below 30, and with dramatic and frequent cycles between the two values, and looking for equivalent swings in the pair ratio. I'd enter the selected pairs into a new category "Good RSI."

Any thoughts?

Here are a few for you to watch for:

HTLD/KNX
AMR/CAL
HES/TOT
LAYN/MDR
FWLT/LAYN
CMI/TEN
AER/HTZ
AVI/KAI

Walt B
 
For any of you using thinkorswim or TD Ameritrade, they added ratio charts on thinkdesk over the weekend. This will really help in particular managing exit trades.
 
Hi all! I have been pair trading for about 13 months and I started using PTF in May of 2009. It is a great tool and I have nothing but great things to say about it. Jared is a great person to work with as well.

I was wondering if anyone has been having problems with getting data today, 12/9/2009. My PTF has run smoothly since may, never a glitch. But today, all my pairs are stuck in "pending" status in my console....anyone else having problems today? If not is sounds like a connection issue for me...can't quite figure it out.

:confused:
 
Quote from pcarma:

today, all my pairs are stuck in "pending" status in my console....anyone else having problems today? If not is sounds like a connection issue for me...can't quite figure it out.

:confused:
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Today the prices refresh properly.

I had that problem a few days ago. It happened after leaving the program running overnight. The prices on the next day did not refresh from the previous day.

What I need to do every once in a while is to shut PTF down, wait a few minutes, and restart it. That forces a refresh on the prices. After that, the refresh seems to work ok. Or you could try closing out the Console and re-opening it.

Walt B
 
Quote from waltbx:

Today the prices refresh properly.

I had that problem a few days ago. It happened after leaving the program running overnight. The prices on the next day did not refresh from the previous day.

What I need to do every once in a while is to shut PTF down, wait a few minutes, and restart it. That forces a refresh on the prices. After that, the refresh seems to work ok.

Walt B
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