Pair Trading Strategy Journal

[boba15]

Quote from dukatu1:

providing ADF readings in excess of 5.

ADF is...?

 

[fpga]

Jonny,
Are you still posting your daily pairs and results? Looking forward to seeing that.

 

[boba15]

Quote from boba15:

ADF is...?

I see, Augmented Dickey Fuller.

 

[OHTodd]

Dukatu -

Thanks so much for the clarification. Interesting idea on the 3-legged combo. Certainly going to check this out.

 

[OHTodd]

Sell: ALL
Buy: MET

ADF: 5.5

 

[jorgeamado88]

Just curious: Is anyone using PTF with FX crosses or have views on correlation trading ccy pairs against another?

 

[dukatu1]

A little bit risky, but anyway:
S EMC
B ABDE

Dollar neutral.

 

[Malaga14]

Sell RYU
Buy XLU

Thought liquidity in RYU would be a problem, but it turns out to be better than it looks.

 

[fredman007]

Quote from dukatu1:

A little bit risky, but anyway:
S EMC
B ABDE

Dollar neutral.

high risk trade..why it should change now?

 

[dukatu1]

EMC has been featuring in my list of SELL candidates for the last couple of days.
I thought market overreacted on ADBE post earnings and it was quite tempting to buy it. So I coupled them.

Currently the pair is in the money, however I still don’t feel quite comfortable walking away from my classic system.