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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Quote from jonnysharp:
You can either factor it into your trading model or simply not trade stocks with a dividend due in the next 2 weeks, go to www.earnings.com to check for upcoming ex-dividend dates. I prefer not to trade around dividend time unless I can go long the dividend paying stock and collect the dividend, also there is a proven tendency for stocks to outperform the market by 2-4% in the 4 weeks preceding the ex-dividend date, the probability and payoff of the event rises with the amount of the dividend and the franking.
Johnny,
So you stay away from stocks 2 weeks before dividend day?
I was on earnings.com and couldn't locate the dividend information.
Here is a summary of all the trades I have posted to forum in Excel.
These trades were all in real time, and members can validate the entries in the sheet with actual posts made on the forum starting at around P302.
MS/AMTD is still open.
This is a modified version of my actual trading sheet. All entries are before comm./financing costs.
Profit/loss is based on 10k/10k.
Other things will dominate life for a while, so maybe some time before I post again. Hence the summary.
Pairs trading is not complex, (despite all the quant. discussions to the contrary), and PTF does not come with a secret sauce, it just organises the manipulation of the data in a user friendly way.
Doing it day in and day out isn't complex, but as I have stated before, don't confuse this with it being easy. Doing it day in and day out is hard, and there will be losing weeks and losing months.
You have to stick at it.
These trades were all in real time, and members can validate the entries in the sheet with actual posts made on the forum starting at around P302.
MS/AMTD is still open.
This is a modified version of my actual trading sheet. All entries are before comm./financing costs.
Profit/loss is based on 10k/10k.
Other things will dominate life for a while, so maybe some time before I post again. Hence the summary.
Pairs trading is not complex, (despite all the quant. discussions to the contrary), and PTF does not come with a secret sauce, it just organises the manipulation of the data in a user friendly way.
Doing it day in and day out isn't complex, but as I have stated before, don't confuse this with it being easy. Doing it day in and day out is hard, and there will be losing weeks and losing months.
You have to stick at it.
Attachments
coreed thanks for sharing. It looks like you are doing very well. One question, what happened to the 3/11 FFIN/FHN trade? I don't see that on your spreadsheet.
Quote from coreed:
Here is a summary of all the trades I have posted to forum in Excel.
These trades were all in real time, and members can validate the entries in the sheet with actual posts made on the forum starting at around P302.
MS/AMTD is still open.
This is a modified version of my actual trading sheet. All entries are before comm./financing costs.
Profit/loss is based on 10k/10k.
Other things will dominate life for a while, so maybe some time before I post again. Hence the summary.
Pairs trading is not complex, (despite all the quant. discussions to the contrary), and PTF does not come with a secret sauce, it just organises the manipulation of the data in a user friendly way.
Doing it day in and day out isn't complex, but as I have stated before, don't confuse this with it being easy. Doing it day in and day out is hard, and there will be losing weeks and losing months.
You have to stick at it.
Quote from coreed:
Here is a summary of all the trades I have posted to forum in Excel.
These trades were all in real time, and members can validate the entries in the sheet with actual posts made on the forum starting at around P302.
MS/AMTD is still open.
This is a modified version of my actual trading sheet. All entries are before comm./financing costs.
Profit/loss is based on 10k/10k.
Other things will dominate life for a while, so maybe some time before I post again. Hence the summary.
Pairs trading is not complex, (despite all the quant. discussions to the contrary), and PTF does not come with a secret sauce, it just organises the manipulation of the data in a user friendly way.
Doing it day in and day out isn't complex, but as I have stated before, don't confuse this with it being easy. Doing it day in and day out is hard, and there will be losing weeks and losing months.
You have to stick at it.
Thanks for this correed. And thanks for being so transparent. I'll post my trades in a bit once I get going as well.
Several trades today:
Closed HD-LOW for profit 174.90 USD
Closed AMB-PLD for loss -131 USD
Opened:
short BR @ 21.23
long LPS @36.37
short MET @ 44.84
long SLF @ 32.57
Stats for my trades opened here are included as screenshot.
(all trades are sim, no commision, P/L based on 10 000 USD capital per trade)
M.
Closed HD-LOW for profit 174.90 USD
Closed AMB-PLD for loss -131 USD
Opened:
short BR @ 21.23
long LPS @36.37
short MET @ 44.84
long SLF @ 32.57
Stats for my trades opened here are included as screenshot.
(all trades are sim, no commision, P/L based on 10 000 USD capital per trade)
M.