Pair Trading Strategy Journal

Closed out last 2 trades on sheet MOC 12/04:

Sold MS @ 30.93
Covered AMTD @ 20.02

Layer 1 MS = +4.6%
Layer 2 MS = +6.36%

Layer 1 AMTD = -3.89%
Layer 2 AMTD = -4.33%

25 Trades posted to forum:

18 wins
7 losses

That's me done for a while. I will post again at some point as time allows.

Good luck everybody!
 
Hello,

Last night I was doing some research for new pairs with actual high correlation and past good results.

I like:

EXC - PEG
BVN - GG
NU - WEC
NU – WR
KMP - KMR
AMR - LCC
KIM - WRI
CI - CVH
CNL - XEL

They all have very high correlation and their bactested equities look great.

Do you have any experiences with trading these pairs?

I am including bactested results for these pairs.

M.
 

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I just signed two very experienced pairs traders (including a former MS trader) as private individual clients this week, so it might be possible for me to add a bit of color to the thread in the future.

On another note, a proprietary trading firm in New Jersey just took out an exclusive commercial two year license for my gray-box software model.

Again, I am contractually bound not to divulge certain aspects of my methods and modeling specifics, but I will monitor this thread and make targeted contributions where it might add some color to the discussion.
 
Good job Magnas

I have already made some trades with these pairs, now I'm in ci-cvh
Some one of these pairs have low volatility so as to make enough money, you need to put lots of money in a trade . So While volatility is too low I do not take the trade. I prefer put 4k to make 400.00 than puts 10 K to make 100.00.

Thank you
 
Bone,

Just to let you know that I and no doubt many others, treat with a huge amount of cynicism, anyone who comes on a forum like this touting in an underhand way a paid for service such as yours.

My theory is this: if you're so clever just do it.

Those who can, do; those who can't, teach.

There's a lot of truth in that and don't throw up your hands in surprise saying things like, 'I'm not touting anything', because by including a link to your external website you're doing just that.
 
Quote from Dr Who:

Bone,

Just to let you know that I and no doubt many others, treat with a huge amount of cynicism, anyone who comes on a forum like this touting in an underhand way a paid for service such as yours.

My theory is this: if you're so clever just do it.

Those who can, do; those who can't, teach.

There's a lot of truth in that and don't throw up your hands in surprise saying things like, 'I'm not touting anything', because by including a link to your external website you're doing just that.
More...

well said.
 
Dr. Who:

You have every right to your opinion, and I share your cynical viewpoint on educators. But you have no right or basis to calling me 'underhanded'. I routinely get PMs from ET members telling me that my posts are useful, and many of my clients are ET members. My clients perform extensive due diligence on my background, and serious prospects are given contact information in order to independently contact current clients (and ET Members) for an independent assessment of my value. Hopefully, my posts will provide some legitimate benefit to those actually engaged in trading if I don't waste my time and energy responding to the bomb-throwers.
 
Hello,

I have closed pair ARM - TEN for profit 215 USD

and opened new pairs today:

Bought AFG @ 29.35
Sold ALL @ 34.25

Bought MTH @ 20.08
Sold RYL @ 22.64

I am including my actual P/L equity from all trades I posted to this forum.
All calculations are based 10 000 capital per pair, max. 100 000 USD capital used, no commision, paper trading, all trades executed in my paper broker account realtime.

M.
 

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