Pair Trading Strategy Journal

Quote from H2O:

So how do you come up with your targets, and as per your previous post - do you expect your target to be reached within one day after opening the position??
More...

Thanks for you interest H2O,

of course, low profit expected = short term holding (2 days on average).

Targets above-mentioned are calculated for the safest and conservative way to achieve my goal, but sometimes , even target hit, i accumulate positions.

Consider each pair trade independently.



Market opening :11/ 2 / 2010

buy FCX
sell PM
target : +0.95%
More...
Goal achieved

Market opening :11/ 3 / 2010

buy FCX
sell PM
target : +0.94%
More...
Goal achieved


2ldeiw2.jpg



Market opening :11/ 2 / 2010

buy AET
sell TIF
target : +1.09%
More...

Goal achieved


Market opening :11/ 3 / 2010

buy AET
sell TIF
target : +1.09%
More...

Goal achieved


14sfbtl.jpg



right ? :p
 
on 03/11 the

B FCX
S PM

trade - it looks that it don't work in your direction

FCX traded up at open and turned lower during the trading day, or?

so it looks that the goal was not reached for the day
 
Quote from fredman007:

on 03/11 the

B FCX
S PM

trade - it looks that it don't work in your direction

FCX traded up at open and turned lower during the trading day, or?

so it looks that the goal was not reached for the day
More...

right ! but as i wrote above (answering H2O) : "short term holding , 2 days on average".
Now look at the opening today, right ?
 
Quote from riviera:

right ! but as i wrote above (answering H2O) : "short term holding , 2 days on average".
Now look at the opening today, right ?
More...

i see; it works well with the opening-gap. good trade :)
 
Market opening :11/ 5 / 2010


This signal still available :


buy POM
sell PM
target : +0.69%


new signal :

buy TLAB
sell PXD
target : +1.31%
 
Hi people,
Just an update on my progress so far. I started off using CMC Markets for CFD's, this has been fine but unfortunately most of the US equities I want to trade are unavailable. I was using CMC because there was no minimum commission and I was paying 2c per side. Unfortunately due to the lack of available markets I am now considering using IG Markets (spread betting). I was just wondering if anyone has used spread betting with this strategy, more specifically IG. Whether I like it or not it seems as though I'm going to have to try it out this way. Input would be much appreciated. One advantage of note would be that gains are tax free(!)
 
Why dont you open a direct access Trading Account. I know everyone says spreadbetting is tax free but you need to make a profit before you pay tax.
 
Riviera / Mpat,

You both have posted that you use cointegration in your pairs selection.
It is something that I would like to automate into my screening process as well.
I've done a bit of research into ADF & linear regression methods, both a bit complicated for my current level of math & programming ability.
Would either of you be willing to provide some guidance?

many thanks
 
You must log in or register to reply here.
Back
Top