Pair Trading Strategy Journal

Walt...i'm ok if my approach is right or your approach is right...as long as i figure out and ultimately move to the one that makes the most money.

Hope we can keep exchanging ideas...

Per my note last night I entered into a few trades this morning from the list last night: (long first)

IWV/VTI
PWE/PVX
STR/HAL
AVB/BRE
UTX/CBE
CLR/UNT

I also did some scanning late today since I was around and 3 of my Monday trades hit their exit signals, all at a profit.

Small profits (but profits!) on:

NU/WEC
BNS/BMO

Nicer profit on
LRY/NNN

The fact that I'm 3 for 3 is somewhat misleading because I found before the losers take longer to close and i have some decent sized losers right now so i can not yet feel any real level of success.

Also entered into a few that i found today at end of day:

OXY/DO
SPG/AMB
TV/ITW


Mike
 
Walt; as we go forward I'd also very much like to hear why you like certain trades better than others so i can begin to think about the same alternatives too.
 
Quote from mlsignups:

Walt...i'm ok if my approach is right or your approach is right...as long as i figure out and ultimately move to the one that makes the most money.

Hope we can keep exchanging ideas...
More...

Well I'm no guru, but I'm not shy about my ideas. I'm wanting to know what you are doing. We are in agreement -- let's get some profit.

Walt B
 
Quote from waltbx:
(Posted 01/08/2010)
And the chart for ARD/BTU http://www.elitetrader.com/vb/attachment.php?s=&postid=2694530
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Chart turned favorable this morining and I entered the pair

Bot ARD 42.89
Sold BTU 49.03

RSI 29 and now rising.
Profit potential at 50% reversion to mean = 1.58%, at 100% reversion 3.16%.
In the past, BTU had an earnings report every January. I haven't found an announcement this January.

Walt B
 

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closed out:

utx/cbe for profit; holding time 3 days

4 for 4 so far but many still open at loss

new trades:
ISI/IWB
TCO/BXP
LFC/CEO
VNO/KRC

Two or 3 others almost had slightly profitable exit signals but turned ast last minute
 
ISI/IWB looked like an entry signal earlier but not showing anything close at end of day so scratch that one.. Unless I find differently I'm slightly up from my 3:45 entries and will close that out first thing tomorrow as an error. not sure what I saw earlier...
 
Quote from mlsignups:

closed out:

utx/cbe for profit; holding time 3 days

4 for 4 so far but many still open at loss

new trades:
ISI/IWB
TCO/BXP
LFC/CEO
VNO/KRC

Two or 3 others almost had slightly profitable exit signals but turned ast last minute
More...

Good work on t UTX/CBE

I sure would like my portfolio to always be profitable. But that isn't likely, because when a pair becomes profitable and hits the target, we close it out. That leaves the pairs still in process, and that's likely to be negative. So, don't dispair. I take heart in my closed trades, and try to worry less about the open ones.

Note that when you entered the UTX/CBE trade, RSI was at a low 32. It reversed, and became profitable.

I've been closely watching RSI as my first filter for over a month now, and lately refusing to enter a trade until the RSI has dropped below 30, or above 70, and shows a sign of reversing.
I am excited about this approach, but can't yet give you results.

I did miss a nice profit yesterday when HON/NOC RSI reached 76 and reversed to 67 yesterday. I should have entered right then. Today I would have had a 1% profit. I posted that chart 01/08 with RSI at 63 and rising. My intention was to enter after it passed 70 and reversed. But I overlooked it yesterday when I should have entered. http://www.elitetrader.com/vb/attachment.php?s=&postid=2694404)

WB
 

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Quote from mlsignups:

closed out:
4 for 4 so far but many still open at loss

new trades:
ISI/IWB
TCO/BXP
LFC/CEO
VNO/KRC
More...

Of those, I like VNO/KRC and will put it on my watch list. RSI is at 31 and still dropping, so I will wait until it drops below 30 and shows a sign of reversing.

LFC/CEO is interesing, too, with a RSI of 28. It's reversing so I think it will be profitable.

TCO/BXP? The RSI is not giving me any clear signals so I'm staying clear.

Just my thoughts using RSI to evaluate.

Thanks for sharing your picks.

Walt B
 

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Walt...thats for your thoughts... i'll have to think more about your RSI factor more.

I'm finding more signals but one of my current criteria is not to hold the same stock in two trades and i have so many positions that many are overlapping.

I did close out one trade; ESS/MAA for profit...so so far 5 for 5 in closed trades. Still have many open which are cumulatively negative.


Got back late so did not have too much time to look at other trades. Did enter one: NFG/SE
 
Quote from mlsignups:

Walt...thats for your thoughts... i'll have to think more about your RSI factor more.

I'm finding more signals but one of my current criteria is not to hold the same stock in two trades and i have so many positions that many are overlapping.

I did close out one trade; ESS/MAA for profit...so so far 5 for 5 in closed trades. Still have many open which are cumulatively negative.


Got back late so did not have too much time to look at other trades. Did enter one: NFG/SE
More...

Mike,

Nice pick with ESS/MAA.

Note, again, that the RSI had dropped below 30 and reversed before you entered the trade. It rose further when you closed for a profit (small). I keep seeing this with most profitable trades. I'm even watching many trades that continue to be profitable past reverting to the mean, as the RSI continues up to 70 (if history has a frequency of moving between 30 and 70). So I'm thinking of holding trades longer. I don't know yet.

Walt B
 

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