Pair Trading Strategy Journal

Has it been your experience that it's better to enter on a convergence vs. a divergence or do you do both?

ALL & MET have a R of .63. Do you look for a certain R?

Quote from dukatu1:

09-27-10
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Hi all, have been looking into pairs trading after being introduced to spreads trading. Would just like to thank the participants of this thread for the information they have posted.

I am based in UK and will be carrying out my transactions in the last hour or two of the US session taking signals from PTF with my own various filters. Look forward to seeing how it goes, starting with small size to begin with as my commission is 2c per side with no minimum charge.

Thanks again folks
 
I would like to accompany Mpat89 by giving my own signals based on cointegration (and not only a simple correlation between log(xxx)/log(yyy)-thinking of certain softwares).
But is there any interest for readers and followers for a "one day-one shot" with a target included between +0.5% to +1.5% ? a french touch on US market with spelling mistakes.
 
I am also interested in co-integration and use this as an additional filter for my trades, as a Mathematician I see the value in using it. I am not personally interested in following or posting my trades (though I don't mind posting if anyone wants me to). There are enough people posting to provide good ideas to those like myself who are just starting out.
 
For some of you, my signals could be ridiculous in term of goal to reach.
No matter, let's go.


Who said co-integration couldn't exist between 2 stocks outside of their respective sector ?
My model doesn't worry about this "graved-in-the-stone" rule.

Market opening :11/ 2 / 2010

buy FCX
sell PM
target : +0.95%

buy AET
sell TIF
target : +1.09%
 
it will probably work out better if i post my trades so people can scrutinise them!

Long ABT 50.60
Short PFE 17.57

Long HON 47.22
Short GR 83.51

Long VNO 88.99
Short SPG 100.25
 
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