Pair Trading Strategy Journal

Quote from fpga:

Jonny,
Are you still posting your daily pairs and results? Looking forward to seeing that. :-)
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ive been busy of late with other business, i still pair trade everyday and last month was good with a 7.2% gain, i still read here from time to time and no doubt il post trades in here again, appreciate everyone else keeping the journal alive.
 
Jonnysharp and all the other traders that have contributed to this Journal, great work. I have read all 374 pages its a brilliant read. Testing PTF at the moment.
 
Quote from dukatu1:

S 3x KIM @ 15.21

B 1x PRU @ 52.25

enjoy
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CLosed yesterday at a loss of 7% after good real estate data.

Lesson learned: Choose closer substitutes.
 
Quote from fredman007:

Today i am open a new position

long GLD
short SLV
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Hi fredman007

I get into this Pair earlier and was stopped out on 10/5/07 lost about 5 %. It look like a good pair but drawdown is continueing.
SLV is very strong relative to GLD. I am planning to get back as soon as there is some sign of RTM.

PA
 
there are so many tradeabel ETF - pairs out there - what is a reasonable filter to cut down the possible trades?

e.g. numer of winningtrades in the past? correlatoin?

thanks for your input
 
Quote from fredman007:

there are so many tradeabel ETF - pairs out there - what is a reasonable filter to cut down the possible trades?

e.g. numer of winningtrades in the past? correlatoin?

thanks for your input
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I just look at drawdown on P&L on backtest if the highest drawdown is to high I would cut loss at some point and wait for any sigh of reversion. I am already back in today (10/07/10) a little bit better price than when I was stopped out.

PA
 
Quote from dukatu1:

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

Dollar neutral.
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Reverse it immediately, ADBE jumped 10% on M&A rumors.

Just collected 12% on this pair.
It pays to be lucky from time to time.
 
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