Pairs Trading Strategy Model

Quote from Neutral_Al:



Hey Bud,

I use the advanced version myself. I am only able to do the S&P500 with my hardware. They have the S&P, the NAS100 and the Russell 1000. That is a lot of pairs to choose from. They also calculate RSIs and Standard Deviations, so you can look for shorter-term trades with signif. divergence.
For those who interested, here is the link:
http://www.pairstrading.com/pairs-generator-adv_demo.asp
The only problem they have is the charts.
The Yahoo charts they show are not enough. They need to be able to display ratios. If you use Qcharts, however, you should be fine.

Al
More...

Hey Al,

Thanks for the tip. I have been trying a variety of charting services and trying to pick one. I will try QCharts. As for the service, you are right, it is very easy to use and I find that I can easily customize it to my needs. I usually make more on each trade than I pay for the service, so the lack of charts doesn't bother me that much.
 
has anyone tried to trade buckets on an interest rate curven by means of pairs trading? I mean actually trading the moves within the curve, either by futures, swaps or whatsover.


peace
 
Man I am asking my question here so that the thread may remain here.
<BR>
I was wondering if you would please take the time to post (if available) the links to any papers on the cointegration of stock data series that you spoke of on the other thread.

Thanks, Royce III
 
Hi Al,

I first became aware of hedge trading stock pairs when taking some trading training form Mike Engmann, the principal at Preferred Trade and SectorBase and a hedge fund manager. I then did a web search on the topic and found this group. Mike and SectorBase (www.sectorbase.com) have now added a module, EquityScore, that includes hedge trading pairs. It is an extra cost module and I haven't looked at it. I have asked to sample other modules and they have been willing to give a month's access for free. My guess is that you want to ask at the very beginning of the month to get the maximum number of free days. To be completely honest, I don't know if the module is a good trading platform for hedged pairs; perhaps coupled with SectorEngine and Preferred Trade it is - in my novice opinion SectorEngine is the Cadillac of trading platforms - but then, it's only the second one I've used - the other was a real clunker. If my life ever slows down I'm going to look at EquityScore. EquityScore's portfolio returns are fairly impressive, especially when the reduced risk is factored in.

Hope this helps.

Jerry
 
we started our pairs system by december 3rd, saw about ten good weeks and got hammered during the last ten trading days, bringing us back to flat for the year. an unusual streak of seven loosing days in a row costed us 3%.

how did other pairs traders do during that time?


peace
 
Man,
I don't know about your system or timeframes but the past few weeks of low volume has made it extremely difficult to generate any significant net profits for me trading pairs. High liquidity & high volatility is essential for shorter term pairtrades in my opinion. I've adjusted by cutting back my initial size and be more patient on entry points. As soon as the volume picks up I think you'll start having more success
Good Luck
Homer
 
Man,

I agree with Homer with respect to the need for liquidity and volatility for short-term pairs trading. I trade pairs from both a short-term and an intermediate-term perspective. The last three weeks of February were very bad. Out of fourteen trading days, I think I was profitable on two or three. I don't have a solution to the problem --- yet.

SamW
 
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