Pair Trading Strategy Journal

Quote from RVaBulk:

I was wondering if anyone on this thread has pair traded futures on a intraday basis, and if so any suggestions on where to start?
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Take ES-NQ pair volatility weighted, proportion: -2ES+3NQ, intraday range is about 600 usd, fade when it breaks out of the range. This is the basis, the rest is your creativity. Sometimes you'll see really wide swings, lasting weeks, be prepared to handle them.
 
Quote from waditude:

I don't know what you mean. This is not a trading system - I just looked at industry group reversion-to-the-mean to see if there was an edge here that one could use.




These are not correlations. These slopes are regression coefficients and were measured over a 5 1/2 year period. An additional few weeks of data would not change anything.
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So it would be ok to hold these trades for a few weeks? I'm not interested in day trading. Thanks.
 
Quote from boba15:

Take ES-NQ pair volatility weighted, proportion: -2ES+3NQ, intraday range is about 600 usd, fade when it breaks out of the range. This is the basis, the rest is your creativity. Sometimes you'll see really wide swings, lasting weeks, be prepared to handle them.
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Thanks. I'll take a look.
 
hi all, ive been away for awhile, but ive come back home now and not so busy, i still get plenty of pm's from everybody and yes i'm still pair trading, and doing well, ive been a bit bored lately so i thought i would start posting some trades again for us to discuss, i really enjoy the interaction with other pair traders and hope some old names here re-appear and we can crush the market together, dollar neutral style! and hopefully i can smash my prior record of 110% in one year!

ok, new trade today

Long SEIC @ 19.84
Short OXPS @ 17.09

what i like about this trade;

1) pair is 3.09 standard deviations from the mean
2) ratio chart is over extended and down-trending(i'm betting on a further decline)
3) RSI chart made a lower high
4) percent from mean is at historical high
5) pair backtests well with a 100% win rate, a very high 4.14% avg profit per trade with an average of 13 days holding time and a nice smooth uptrending equity curve
6) OXPS is over-valued relative to SEIC based on valuation measures PEG and PS
7) no earnings announcements due for over 10 weeks

attached is charts, fundamentals and backtest
 

Attachments

Quote from jonnysharp:

hi all, ive been away for awhile, but ive come back home now and not so busy
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Hi Jonny, nice to see you're back. Looking forward to seeing new posts.

Are you trading PROP or retail (couldn't find an explicit answer in the thread)?

If prop, what max. leverage did you ever use holding pairs overnight?
 
Quote from jonnysharp:

hi all, ive been away for awhile, but ive come back home now and not so busy, i still get plenty of pm's from everybody and yes i'm still pair trading, and doing well, ive been a bit bored lately so i thought i would start posting some trades again for us to discuss, i really enjoy the interaction with other pair traders and hope some old names here re-appear and we can crush the market together, dollar neutral style! and hopefully i can smash my prior record of 110% in one year!

ok, new trade today

Long SEIC @ 19.84
Short OXPS @ 17.09

what i like about this trade;

1) pair is 3.09 standard deviations from the mean
2) ratio chart is over extended and down-trending(i'm betting on a further decline)
3) RSI chart made a lower high
4) percent from mean is at historical high
5) pair backtests well with a 100% win rate, a very high 4.14% avg profit per trade with an average of 13 days holding time and a nice smooth uptrending equity curve
6) OXPS is over-valued relative to SEIC based on valuation measures PEG and PS
7) no earnings announcements due for over 10 weeks

attached is charts, fundamentals and backtest
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Hi Jonny, nice to hear from you.

Just out of interest- I see you're using v2.96. I am using 2.89. Does Jarred notify you when newer version is available for d.load?
 
Im new to Pairs Trading and looking to get my head around it as its a bit different to way Ive previously traded.

Just wondering if there are many out there trading doing pairs fulltime or do most do it part time. And/or how many hours a week do you spend pair trading?

And can anyone share what a typical day is like for a pairs trader.

sleepy :)
 
Quote from coreed:

Hi Jonny, nice to hear from you.

Just out of interest- I see you're using v2.96. I am using 2.89. Does Jarred notify you when newer version is available for d.load?
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v2.97 is available now for download on the Paitrade Finder website. I see now Jarrod is trading Forex using his Pairtrade finder software. Has anyone tried this startegy.
 
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