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Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Hey Jonny, did you know pairtradefinder.com mentioned you and this thread in their news letter? Your famous now.
Quote from konviction:
Hey Jonny, did you know pairtradefinder.com mentioned you and this thread in their news letter? Your famous now.
Yep, I got the same email.
It would be nice if they actually had a telephone, or would at least return emails.
Johnny needs to tell them they owe him a royalty check. Oh wait, there's no way to get in contact with them to tell them that.
Quote from jones247:
Hi Jonny,
Are you a divergence or mean reversion pairs trader? If both, what do you use as a basis to switch from one style to the other.
btw, I think I'll order the Pair Trade Finder software. Does it accomdate both divergence and mean reversion strategies for pairs trading?
thanks,
Walter
strictly mean reversion pair trader. I don't think you can play divergence trades in PTF, but you can just take the opposite side of the trading signals and that would make it divergence.
Quote from LEAPup:
Yep, I got the same email.
It would be nice if they actually had a telephone, or would at least return emails.
Johnny needs to tell them they owe him a royalty check. Oh wait, there's no way to get in contact with them to tell them that.
A phone nr wld be nice I agree.
PTF are based in Australia, and most of their clients are in N.America. I think the time zone diff. is probably why they don't offer phone support. I have found their mail responses pretty prompt though
Quote from jonnysharp:
data is automatically loaded into the program every 5 mins for free via yahoo finance, or you can pay for real time data via IQfeed(I have). intraday spread chart plots the difference between the 2 stocks using the same data. when you export data to a spreadsheet from the backtester there is a column showing the running PnL for the pair, you can copy and paste each column for each pair into one spreadsheet, use the =SUM function to combine each column, then highlight the column and click on line chart and wala you have a portfolio equity curve, I would say this is how they have done it on their example page.
Hi Jonny,
About using =sum function in Excel for the Profit column, this is total profit for each pair and not trade-by-trade so I can't understand how this could be used as an equity curve unless I'm missing something?
Do you know if there's a way to view the trade entry and exit prices and dates from the backtester?
Cheers, Sabai.
thanks Jonny,
I'm really starting to be convinced that the best way to play mean reversion is after the pair appears to have reversed upon reaching or coming close to its support/resistance levels; otherwise it becomes a "catching a falling knive" situation, which gets potentially worse on an exponential level when one averages-in (layers-in).
In other words, I'm not sure if I would adhere only to mean reversion, as there are times when the pair would divert. Instead, why not follow the mean reversion trend or the mean diversion trend once the pair bounces off or near the support/resistance level?
BTW... on the Pair Trade Finder website, they mention that they are now partners with Interactive Brokers (IB). If that's true, how would I get live real time data feed from IB through the Pair Trade Finder software, instead of using IQFeed for real time data?
thanks,
Walter
I'm really starting to be convinced that the best way to play mean reversion is after the pair appears to have reversed upon reaching or coming close to its support/resistance levels; otherwise it becomes a "catching a falling knive" situation, which gets potentially worse on an exponential level when one averages-in (layers-in).
In other words, I'm not sure if I would adhere only to mean reversion, as there are times when the pair would divert. Instead, why not follow the mean reversion trend or the mean diversion trend once the pair bounces off or near the support/resistance level?
BTW... on the Pair Trade Finder website, they mention that they are now partners with Interactive Brokers (IB). If that's true, how would I get live real time data feed from IB through the Pair Trade Finder software, instead of using IQFeed for real time data?
thanks,
Walter
Quote from jonnysharp:
strictly mean reversion pair trader. I don't think you can play divergence trades in PTF, but you can just take the opposite side of the trading signals and that would make it divergence.
Quote from Sabia:
Hi Jonny,
About using =sum function in Excel for the Profit column, this is total profit for each pair and not trade-by-trade so I can't understand how this could be used as an equity curve unless I'm missing something?
Do you know if there's a way to view the trade entry and exit prices and dates from the backtester?
Cheers, Sabai.
you need to click on each pair in the back test window then click on '''data view'' then export that window to excel, you will find a column called ''running PnL'' you can collate all those columns together to create a portfolio equity curve, this will show the running open+closed PnL across all pairs in the portfolio for every trading day in the test period. you can get some pretty smooth up-trending portfolio curves if you filter out the crap pairs.
Quote from jonnysharp:
you need to click on each pair in the back test window then click on '''data view''
Thanks!
Just got PTF and had another look at the manual to if there was anything on "Data View" but nothing.
One other thing, at first I thought the backtester maybe testing using intraday buy/sell prices but by the look it's EOD. Is this correct please?
ie: is delayed one day and buy/sell at open.
Cheers.