Pairs Trading Strategy Model

Originally posted by Bob111


how long you been in this position?
i look @ pairtrading.com performance-they far away from my results....

http://www.angelfire.com/de3/options/TRADES.HTM

looks like they put at least 20000 on each side to get 500-1000 profit. man..........you can make it easy on nasdaq in intraday.
imagine, where i would be, if unstead 2500-5000 on each side i put 20000)))))))))))heh....
one big drop on news will kick you out for month, if not forever.
i been trying to hold some positions overnight-it's nightmare.
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Hey Bob,

I opened the position on 9/20. I looked at your record... Do you have a system or do you scalp general correlation 100 shares at a time? What is your total relative P&L?
As far as pairstrading.com performance, making 100,000 on 300,000 account in severe bear market over the past 9 months is pretty good.
They think like hedge fund managers, not like daytraders. So, for them being market neutral and outperforming the S&P by more than 50% is an achievement in my opinion.

Al
 
opened the position on 9/20. I looked at your record... Do you have a system or do you scalp general correlation 100 shares at a time? What is your total relative P&L?
As far as pairstrading.com performance, making 100,000 on 300,000 account in severe bear market over the past 9 months is pretty good.
They think like hedge fund managers, not like daytraders. So, for them being market neutral and outperforming the S&P by more than 50% is an achievement in my opinion
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yeah, looks like they are funds managers, you right about it, i just go over this site once again)))))). but, they make same money from hold position for days, which create more risk. why i should sit in FRE-FNM for ten days, if i can make same(or more) money between ALTR-XLNX today in just couple hours? i do have system,i also wrote software for pairs,still work on it + prices got so low,commissions killing me. i make about 9000 on 10000 capital for 3-4 month, then lost about 3000 in just few days.as you can see i have few big losses @ end)))))) work on it now.
basically-all my losses come from me)))))there is nothing wrong with system-it very hard for me to take a loss(((((
i still not prepared mentally for it.
Thank you!
 
I've read all the posts and thought i'd put in my two cents..i use metastock to correlate my pairs , searching each night thru various sectors..i tend to trade only same sector pairs but i keep cross-sector pairs also..I've been watching fdx/rtn as a possible trade at r+1.75 but didn't pull the trigger ..today it moves ..for entries i have criteria that has to be met..first it has to be in a defined area of FLAt support(i don't like trendlines too much i.e.r/cnf had a good trendline until now).next the 21 day stoch. has to be way overbot/oversold along with either a 6 day rsi or a 5 day stoch which also has to be extreme..i look at fundamentals also but they aren't always reliable(didn't do much for s/low today)..right now i just started selling ip/tin r=.92..just my thoughts..i saw someone mention a chat room?..i'd be interested ..good luck all
 
Originally posted by galtg
I've read all the posts and thought i'd put in my two cents..i use metastock to correlate my pairs , searching each night thru various sectors..i tend to trade only same sector pairs but i keep cross-sector pairs also..I've been watching fdx/rtn as a possible trade at r+1.75 but didn't pull the trigger ..today it moves ..for entries i have criteria that has to be met..first it has to be in a defined area of FLAt support(i don't like trendlines too much i.e.r/cnf had a good trendline until now).next the 21 day stoch. has to be way overbot/oversold along with either a 6 day rsi or a 5 day stoch which also has to be extreme..i look at fundamentals also but they aren't always reliable(didn't do much for s/low today)..right now i just started selling ip/tin r=.92..just my thoughts..i saw someone mention a chat room?..i'd be interested ..good luck all
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Hi galtg,

Welcome. I am going to plug in your 21 day stoch with 6 day rsi into my correlation. Sounds interesting. Let me test it. If you like IP/TIN, you should love WMT/KSS and ED/TXU. A bit to scary for me. Quite a rare event. Not enough occurrences to produce good statistics. But definitely tempting...

Al
 
yeah ip/tin loks like something u'd want to keep away from.but i've traded this pair alot in the past with good results ..this was an extrordiary move ..but i figured with tin near a support area and oversold and ip just going nowhere it was time..and besides my stop is placed a point above..both firms pre-announced..i'll risk a point
 
Originally posted by big_jdez
I was looking into trading pairs, and I wrote a simple spreadsheet which was linked to TC2000, and basically followed some spreads that way.

Here is a link to show what my SS basically looks like. This hasn't been updated lately.

http://www.geocities.com/joebhernandez/spreads.htm
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i dont get it
if you interested-you welcome to see my trades somewhere here

what your criteria to find a pair? or enter into trade?
Thank you!
 
Originally posted by big_jdez
Here's an updated version Nitro.
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Hi !
can you explain what is this?
SPRD C1 MAX 5 MIN 5 AVG 5 MAX 20 MIN 20 AVG 20 5 SP DIF 20 SP DIF

also, did you try to build a chart from % difference?
i did one for you-just pick one of your pairs.
i hope you (and all other pair traders) will understand, that find a pair, based on correcation can be bad idea. like in example .

from correlation point of view-great pair!, but, if trade did not go your way-you never get out. unless-you have a stop loss.

just my word of caution.......
Thank you!
 

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