Pair Trading Strategy Journal

Most of you use pairtrade finder...on what time frame are these pairs triggered on... a divergence in price will be much different on a 5min than it will on a daily... I watched their lil demo video, and dont remember seeing anything on time frames


also how long does one have before the opportunity passes...minutes..seconds...hrs? I guess it depends on time frame if it allows you to filter in this way.

thanks
 
Sold CGV @ 26.3 (11.54%)
Covered BJS @ 22.22 (-2.54%)

10 Trades posted to forum

7 wins
3 losses
My average winning ratio is 70%. Did not expect to see that distribution over such a small sample.
 
Quote from konviction:

Most of you use pairtrade finder...on what time frame are these pairs triggered on... a divergence in price will be much different on a 5min than it will on a daily... I watched their lil demo video, and dont remember seeing anything on time frames


also how long does one have before the opportunity passes...minutes..seconds...hrs? I guess it depends on time frame if it allows you to filter in this way.

thanks
More...

You are free to set your own parameters. Default is 14 days.

As far as reacting to the signals, it is really up to the individual trader to decide. Some wait until the pair stretches further, some only take Layer 2 signals, some wait until RSI reaches a certain level or reverses, and so on.

Once you are familiar with the pair, and can see how it has reacted in the past e.g. does % -->Mean usually reach 2% before reverting back to the mean, then you might want to wait until pair reaches proximity of that level before putting the trade on.
 
New trade - NYSE Oil Services:

Have traded this pair successfully before.

Curious as to know why FTI jumped so much at the open. No pending earnings, no upgrades or M&A rumours on any of the wires.

Sold FTI @ 60.21
Bought NOV @ 44.43

What I like about trade:

Non-trending ratio chart - large deviation of ratio from mean.
% -> Mean at extreme.
Spread at 50d high
Reliable pair that back tests well.
Poss. dividend capture for NOV (March 08)

What I don't:

Corr chart is trending down.
 

Attachments

Sold WMB @ 22.69 (7.54%)
Covered MMP @ 45.76 (-4.57%)

11 trades posted to forum

8 wins
3 losses

Starting to feel like my personal trading journal
:confused:
 
Hello coreed,

I will join you here as I have been studying pairs for some time now and I find the strategy very interesting.

I am papertrading pairs at this moment and plan to move to live in couple of weeks.

Today I opened:

BR long at 21.26
LPS short at 39.77

Magnas
 
Quote from Magnas:

No it is ProLogis stock.

Here is screenshot from my platform (paper money, but I do all the trades in realtime).

M.
More...

OK. I think you meant AMB - not AMD
:)
 
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