Pair Trading Strategy Journal

My spread is a candlestick graphe. I use the following formula:

OpenSpread = Open / Foreign("BN.PA","Open");
HighSpread = High / Foreign("BN.PA","High");
LowSpread = Low / Foreign("BN.PA","Low");
CloseSpread = Close / Foreign("BN.PA","Close");
PlotOHLC( OpenSpread, HighSpread, LowSpread, CloseSpread, FullName()
+"-"+"BN.PA"+" Spread", colorBlack, styleCandle );

I need the ATR of this chart. Any idea?
Thanks
 
Quote from froluis:

My spread is a candlestick graphe. I use the following formula:

OpenSpread = Open / Foreign("BN.PA","Open");
HighSpread = High / Foreign("BN.PA","High");
LowSpread = Low / Foreign("BN.PA","Low");
CloseSpread = Close / Foreign("BN.PA","Close");
PlotOHLC( OpenSpread, HighSpread, LowSpread, CloseSpread, FullName()
+"-"+"BN.PA"+" Spread", colorBlack, styleCandle );

I need the ATR of this chart. Any idea?
Thanks
More...

Use substitution.

H = HighSpread;
L = LowSpread;
C = CloseSpread;

Now do ATR and Plot

Then cancel the effect with RestorePriceArrays()

Give this a spin.

Also AB yahoo group is best for this type of discussion.

con
 
put on several positions today
long bpfh short npbc
long bpfh short mtb
long tbl short nke
long ab short amp
long eat short jack
long ges short urbn
 
to all of you that use pair trade finder. what do you put for max days in trade. if you use 10 does it not go by 10 calendar days? i moved mine to 14 to use 2 weeks and today i am paying the price. thanks for any input.
 
Interesting day yesterday. From pairs trading perspective I was surprised that my positions where not affected a lot, although I have a bit of open loss now and it will be interesting to watch if the position will recover or I will be hit by drawdown.

I have closed 2 pairs yesterday:
AEM-BVN for loss -2,9%
BMY-WX for gain 9,8%

M.
 

Attachments

Wednesday


opened

Long KRC
Short BXP

Long BRKL
Short DCOM

Closed
FCX- SLT Profit 4.2 %
RYL-MHT profit 4.1 %
ACM-URS Profit 1.5 %
GES-JWN loss 11 %

Thursday (Great day )

Long MXIM
Short ADI

Long CPO
Short BGS

Closed
IBM-CSCO 1% profit
FFIN-FHN 5% profit
GNA-GGB 5.1 % profit
BRKL-DCOM 4.6 % profit
CPO-BGS 12.8 % Profit

Today

Opened
Long O
Short FRT

Long PSS
Short JCG

Mike
 
Hi every body

Fryday opened

Long CVH 21.10
Short CI 31.90

Long CM 67.17
Short BNS 48.26


Today

Closed

MXIM-ADI 4% Profit

Opened

Long WL 16
Short BBT 33.91


Long POR 19.41
Short FPL 52.43

MIKE.
 
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