Pairs Trading (NEW)

Dustin,

That is a very interesting post indeed. I have had a look on your website...What would be interesting would be some examples of realized trades, your xl spreadsheet.

I am trading futures (CAC and DAX) and stocks (nasdaq & european). I am really interested in knowing more about trading different future contract (like DAX September vs DAX December) at the same time.
 
As far as seeing past pairs trades, they aren't worth posting ;-)

I have found that I can play the LLTC/MXIM pair, but must finesse the trade. By this I mean if the futs are running I will get the long position first, then mabye 5 mins later take the short position. In effect this locks in the profits, and hopefully you will get additional profits from the spread. This trade can take 10 mins to many hours.

If you want to set up a spreadsheet like this for futures, commodities etc you just need to be able to import t&s data into excel. From there if you need help just email me.
 
There was an article on pairs trading in the March 2001 issue of Technal Analysis of Stocks & Commodities. The name of the article is Pairs Trading by Stephane Reverre. I did a 6 year test based upon his article and it was profitable trading 100 shares without commission or slippage. I think that you need to have very low commission, like $0.01 a share to make this work.

You might also want to explore this website:

http://www.market-topology.com/

They can do a lot of the grunt for you in finding acceptable pairs.
 
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