Pair Trading Strategy Journal

My traders bought XOM vs. BP this morning 15 minutes after the open per the model, but got out way too soon because the 20 day ATR on the damn thing is only 90 cents. 3 dollars later they are feeling a bit melancholy (more like pissed), but that's earnings seasons for 'ya. Blew through the monthly resistance pivot by 2 dollars as well. Hurray for divergence.
 
Quote from Darshan:

Take the trades as you see them if you have enough BP, if your getting low on BP and are maxing yourself out, become more picky in your selection process... Similary if you have a lot of remaining BP double up your positions.

Just becareful because you might get involved in some thinner stocks especially towards the middle of the trading day and if your putting on some fairly big positions you can definately push the stock.
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Thanks for replying, however if we go by the this logic then we would be unbiased.

My theory is that i look for the pairs and when i find a list of pairs i treat them equally. i.e. i put equal capital in each one of them.

For example i have put $2000 in the first pair which i exited on the 7th day. Now since i have $68000 in my account on the 7th day, should i be putting 4000 dollars instead of the regular 2000? Doesn't that put a bias on the pair i find in the future when compared to the pairs which were found at the begining of the trading journey?
 
Quote from Magnas:

04/29/2010:

Opened new trade:

Sold MTH @ 24.38
Bought RYL @ 23.47

Closed
PNW-POM for loss 1%

M.
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Magnus what signal settings are you using?

I was at 20/14/14 but pushed it back to 100/100/100 due to the lower volitility... I'm barely generating any signals now.
 
I am using 14 for st dev and 14 for mean.
M.

Quote from Darshan:

Magnus what signal settings are you using?

I was at 20/14/14 but pushed it back to 100/100/100 due to the lower volitility... I'm barely generating any signals now.
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Hi every body

Jeudi ;-) I did some trades

closed
AAP-ORLY lost -7.6 %

6.8 k
Opened
Long MI 9.27
Short HBAN 6.81

Friday the 30

Closed
CNA-AFG profit 2.1 %
CTRN -FL profit 4 %

Opened
long LNC 30.95
short PRU 64.36

long BRE 41.82
short AVB 103. 83

Today the 3 may

Closed
SID - TS 5.6 %


Mike.
 
Hi,

Anybody using Amibroker for pair trading? I am total beginner with this platforme.

I have set up a number of ratio charts using the "foreign " function. I would like to have the ATR of this ratio plotted on a different pane. How can I do that? How do I get the ATR of a Formula and not of the price?
Any help appreciated
Thanks!
 
Quote from froluis:

Hi,

Anybody using Amibroker for pair trading? I am total beginner with this platforme.

I have set up a number of ratio charts using the "foreign " function. I would like to have the ATR of this ratio plotted on a different pane. How can I do that? How do I get the ATR of a Formula and not of the price?
Any help appreciated
Thanks!
More...

AFAIK the ATR formula takes H,L & C prices into account. So unless something can be expressed in H, L & C you cannot use standard ATR.

You will see AB ATR function is ATR(periods only) because of the above.

Con
 
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