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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from BD1:
I also use PTF. Sometimes I need to do a restart of windows. PTF just seems to stop updating prices and it starting/stopping PTF doesn't do anything. So I just restart windows. I am using Iqfeed. I had more issues when I was using yahoo.
starting to think that yahoo is the problem, but now I am having other computer issues. The problem just took a new turn, I can't even open IE , I did a system restore and things got worse. Thanks for the responses. If I figure it out I will post the solution, might be useful to someone else on the future.
Good trading!
Quote from BD1:
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.
Thanks BD1,
It's very interesting to see how the Difference (1.98*CPT-AVB) chart is so close to the ratio chart (CPT/AVB), actually on TOS you can see the normalized difference, correlation, ratio, RSI and Bollinger Bands on one screen. I created a SET on the Studies.
Question: How can I access these charts from TD Ameritrade? I know they bought TOS but the TD-Ameritre's credentials doesn't work on TOS.
Cool !!
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magon, take a look under trading tools on the TD site. You should be able to download thinkdesk. If not call TD and they should give you the link to download. I have been using it for 3-4 months now. I run both tos and TD thinkdesks at the same time.
I like your chart. Tomorrow when I have more time I'll share a few things I have done with 1day and 5 day charts so we can exchange ideas.
I like your chart. Tomorrow when I have more time I'll share a few things I have done with 1day and 5 day charts so we can exchange ideas.
Quote from bentedges:
A pairs idea that makes sense to me at current levels:
Long PEP, Short KO under 1.029 on the ratio.
Hey Bentedges,
Here's how I see this trade. I'm concerned about the ratio trend. If I enter here, I'm banking on the TREND reversing, and I've lost mucho bucks when second guessing trends. So I wouldn't do it. Might work, probably won't. But I've been wrong before. I'd look for something more definite. Less speculative.
The RSI does not support a reversal. At 68 and moving UP, it doesn't show that the trade is ready to be profitable yet. I'd wait for the RSI to peak and turn down. Note that in the past 150 days only once did the RSI reverse at 67. Other times it moved above 75 before reversing. So I think if it will be profitable at all, today is too soon to enter.
Here are two that I think are better. Yesterday I identified AA/BTU when RSI looked like it peaked at 83% and began to reverse. The ratio is on the profitable side of the trend. Today it is profitable.
CF/TRA is approaching an enter point. Yesterday RSI was 70% and approaching a peak. The ratio is on the profitable side of the trend. Wait until RSI signals a reversal. Today it lost money. That is more profit to bag once it turns. Wait. Soon.
Who knows what will happen? It's a numbers game.
Walt B
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Here is the chart for CF/TRA.
Look at the nice RSI oscillations and how they are correlated with the Ratio oscillations. Pretty good indicators.
I have a Group in PTF just for these good RSI/Ratio pairs, looking for pairs with RSI that frequently clearly reverse above 70 or below 30 and the Ratios do the same.
I'm just starting to use these signals and am encouraged so far.
Walt B
Look at the nice RSI oscillations and how they are correlated with the Ratio oscillations. Pretty good indicators.
I have a Group in PTF just for these good RSI/Ratio pairs, looking for pairs with RSI that frequently clearly reverse above 70 or below 30 and the Ratios do the same.
I'm just starting to use these signals and am encouraged so far.
Walt B
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Quote from waltbx:
Hey Bentedges,
Here's how I see this trade. I'm concerned about the ratio trend. If I enter here, I'm banking on the TREND reversing, and I've lost mucho bucks when second guessing trends. So I wouldn't do it. Might work, probably won't. But I've been wrong before. I'd look for something more definite. Less speculative.
The RSI does not support a reversal. At 68 and moving UP, it doesn't show that the trade is ready to be profitable yet. I'd wait for the RSI to peak and turn down. Note that in the past 150 days only once did the RSI reverse at 67. Other times it moved above 75 before reversing. So I think if it will be profitable at all, today is too soon to enter.
Here are two that I think are better. Yesterday I identified AA/BTU when RSI looked like it peaked at 83% and began to reverse. The ratio is on the profitable side of the trend. Today it is profitable.
CF/TRA is approaching an enter point. Yesterday RSI was 70% and approaching a peak. The ratio is on the profitable side of the trend. Wait until RSI signals a reversal. Today it lost money. That is more profit to bag once it turns. Wait. Soon.
Who knows what will happen? It's a numbers game.
Walt B
I appreciate your input.
I don't use PTF as I utilize my own tools. While I believe the RSI has merit, I place much less weight in that oscillator than I do the statistical variance for a chosen period. I'm also using a fundamental backing in my analysis, and PEP has a cheaper forward multiple with slightly higher growth rate than KO. Also, each pair is entered to the degree that layers can be added if it continues to move outside the deviation. As you say, it's a numbers game, but as you can see the trade is up nearly 1% today since I posted it.
I wouldn't touch CF/TRA as they are news driven (along with AGU) and the pending acquisition offer. There is no edge in knowing how it turns out. Could be a home run; could be a big loss. Not a risk I am willing to take.