You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from Magnas:
Opened new trades today:
Sold AFG @ 28.19
Bought ALL @ 31.18
Sold BMY @ 26
Bought WX @ 14.24
Sold CS @ 51.36
Bought NBG @ 4.05
Sold GFI @ 12.30
Bought GG @ 33.85
M.
NBG has shown up in a number of signals lately. Unfortunately, I cannot short them, (or just about any other financial ADR) through my CFD provider. These are all available for shorting through IB, where I am in the process of setting up a small acct.
Quote from coreed:
Oh and one more...
Sell CEO (166.17 signal level in PTF)
Buy OXY (81.58 - signal level in PTF)
I am not in this trade as I cannot short CEO through my CFD provider. The old adage of 'put the short on first' definitely saved me here.
For what it's worth: PTF signalled an exit on the 18th for this trade. As I was not in it did not monitor so closely:
Sell OXY @ 82.34 (.93%)
Cover CEO 163.8 (1.42%)
Does anyone trade oild/gold/REIT pairs?
Just curious... I've been doing it for some time and the last couple of months have been a bit rough. A few stocks deviating like crazy and not regressing to a mean for weeks. I've found myself holding the bag and averaging into it.
Wondering if anyone out there would like to communicate in regards to what they are looking at in these particular secotrs and so forth.
After leaving my trading firm, I've been trading as a lone wolf an dI find that it has it's disadvantages.
I've adapted my current model and it has worked very well for me. However I never really have a stop out point. I tend to keep averaging in. This has worked for me, however one out of ten trades really puts a dent in my account when it does run.
Do you pairs traders have any critera on when to close out a spread if it keeps moving away from you?
Just curious... I've been doing it for some time and the last couple of months have been a bit rough. A few stocks deviating like crazy and not regressing to a mean for weeks. I've found myself holding the bag and averaging into it.
Wondering if anyone out there would like to communicate in regards to what they are looking at in these particular secotrs and so forth.
After leaving my trading firm, I've been trading as a lone wolf an dI find that it has it's disadvantages.
I've adapted my current model and it has worked very well for me. However I never really have a stop out point. I tend to keep averaging in. This has worked for me, however one out of ten trades really puts a dent in my account when it does run.
Do you pairs traders have any critera on when to close out a spread if it keeps moving away from you?
Quote from Darshan:
Does anyone trade oild/gold/REIT pairs?
Just curious... I've been doing it for some time and the last couple of months have been a bit rough. A few stocks deviating like crazy and not regressing to a mean for weeks. I've found myself holding the bag and averaging into it.
Wondering if anyone out there would like to communicate in regards to what they are looking at in these particular secotrs and so forth.
After leaving my trading firm, I've been trading as a lone wolf an dI find that it has it's disadvantages.
I've adapted my current model and it has worked very well for me. However I never really have a stop out point. I tend to keep averaging in. This has worked for me, however one out of ten trades really puts a dent in my account when it does run.
Do you pairs traders have any critera on when to close out a spread if it keeps moving away from you?
I trade these sectors. As I am doing stat arb, look for the same thing as I do in all pairs i.e. High corr, nx Profit/Trade, % Winning trades etc.
As far as cut off for losses I close out the position when one side of pair => -8.5%, unless other side =>+8.5%. B.tested this rule. Keeps you out of the big losers for small opportunity cost.
Quote from coreed:
I trade these sectors. As I am doing stat arb, look for the same thing as I do in all pairs i.e. High corr, nx Profit/Trade, % Winning trades etc.
As far as cut off for losses I close out the position when one side of pair => -8.5%, unless other side =>+8.5%. B.tested this rule. Keeps you out of the big losers for small opportunity cost.
Thanks coreed for the reply!
I assume that you are daytrading these pairs? What is your entry? -8.5 you mean the net between the two stocks, right.
I'm actually revising my strategy that I won't enter a stock unit the net looking at a 10MA is greater than 10%
What's your entry point? PM if you'd like, maybe we could chat more.
New Trade: NYSE Banks
Sold BAC @ 17.47
Bought IBN @ 40.35
What I like about trade:
Layer 2(2.5 SDs)
Great 'Heartbeat' ratio chart
Corr value high - Trend flat/up
% -> Mean at high end of near term range
What I don't:
Spread chart is opposite of where I wld like it to be
Financial stock - Still some residual risk with these.
Sold BAC @ 17.47
Bought IBN @ 40.35
What I like about trade:
Layer 2(2.5 SDs)
Great 'Heartbeat' ratio chart
Corr value high - Trend flat/up
% -> Mean at high end of near term range
What I don't:
Spread chart is opposite of where I wld like it to be
Financial stock - Still some residual risk with these.
Attachments
Quote from Darshan:
Thanks coreed for the reply!
I assume that you are daytrading these pairs? What is your entry? -8.5 you mean the net between the two stocks, right.
I'm actually revising my strategy that I won't enter a stock unit the net looking at a 10MA is greater than 10%
What's your entry point? PM if you'd like, maybe we could chat more.
I don't d.trade. Av. trade length = 10 days
+/- 8.5% = open gain/loss of one side of pair
Quote from coreed:
New Trade: NYSE Banks
Sold BAC @ 17.47
Bought IBN @ 40.35
What I like about trade:
Layer 2(2.5 SDs)
Great 'Heartbeat' ratio chart
Corr value high - Trend flat/up
% -> Mean at high end of near term range
What I don't:
Spread chart is opposite of where I wld like it to be
Financial stock - Still some residual risk with these.
What's your risk? Target on this one?