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Pairs Trading
- Thread starter jcstylin
- Start date
Quote from Yisterwald:
I'm told it has become diluted, though not rendered entirely ineffective. Isn't it fair to say that today the Opening Only strategy doesn't produce the returns, with the ease, that it did even 5 years ago?
With people making over $250K doing nothing but the openings, I would say it is working fine. Things change, we have to adapt of course, but adapting is a continuing requirement for successful trading.
And, again, the openings are just a part of successful trading plan.
Bottom line is what counts, as always.
Don
Quote from Yisterwald:
Yep. Don Bright seems quite impressed with the PairCo guys maintaining data on 1000 or so pairs, but that really isa piece of cake, assuming you're willing to put in the time to find them, and if you're not then you probably aren't willing to do the other work trading requires anyway.
Could you please elaborate more on this.
I think that PairCO keeps the data in Excel.
Did you create a database and platform with an ability to screen for criteria in house? Hired a programmer?
What language? Java, C++, etc.
To maintain data and screen stocks that may be used for pairs trading...Quote from Bruto Blukowski:
Could you please elaborate more on this.
I think that PairCO keeps the data in Excel.
Did you create a database and platform with an ability to screen for criteria in house? Hired a programmer?
What language? Java, C++, etc.
Requires a full-time professional TRADER...
PLUS a full-time professional PROGRAMMER.
Period.
I was a software engineer for 10 years...
Before I made > 500,000 trades over 13 years... plus maybe 70,000 in fiscal 2007.
And you MUST have BOTH skills on a ** professional level **...
Or you will fail.
So it doesn't matter how much detail Mr. Bright gives you...
Cuz < 5% of the people reading this thread will EVER have the skills to make it work.
The overnite number-crunching is straight-forward...
And can be done in any language...
Or even Excel + VB or VBA...
By any competent applications programmer with 3-5 years experience.
In programming terms it's medium difficult...
But likely beyond the design and coding abilities of hobbyists.
But real-time systems and ATS requires only the very best engineers...
The top 5% in their field... guys that can easily get a job at 100K or close.
Why?
It's not just sort/rank a bunch of stocks in Excel.
Many sub-systems are required...
Back-testing sub-systems...
Dividend adjustment sub-systems...
Integration with real-time quote data and trading platform APIs...
Etc.
Some numbers on my proprietary trading software to give you a rough idea:
80,000 lines of code or equivalent.. on a 7 computer network.
Equals roughly 3 man years of work...
At $50/hour = $300,000
This cannot be replicated off-the-shelf or on a shoestring.
PairCo probably has roughly same amount of infrastructure.
This is the ballpark you have to be in...
To play this Game at a high level.
Most of the guys posting to threads about "Automated Systems" on ET...
Would have more success performing brain surgery on their cats.
Quote from HoundDogOne:
To maintain data and screen stocks that may be used for pairs trading...
Requires a full-time professional TRADER...
PLUS a full-time professional PROGRAMMER.
Period.
I was a software engineer for 10 years...
Before I made > 500,000 trades over 13 years... plus maybe 70,000 in fiscal 2007.
And you MUST have BOTH skills on a ** professional level **...
Or you will fail.
So it doesn't matter how much detail Mr. Bright gives you...
Cuz < 5% of the people reading this thread will EVER have the skills to make it work.
The overnite number-crunching is straight-forward...
And can be done in any language...
Or even Excel + VB or VBA...
By any competent applications programmer with 3-5 years experience.
In programming terms it's medium difficult...
But likely beyond the design and coding abilities of hobbyists.
But real-time systems and ATS requires only the very best engineers...
The top 5% in their field... guys that can easily get a job at 100K or close.
Why?
It's not just sort/rank a bunch of stocks in Excel.
Many sub-systems are required...
Back-testing sub-systems...
Dividend adjustment sub-systems...
Integration with real-time quote data and trading platform APIs...
Etc.
Some numbers on my proprietary trading software to give you a rough idea:
80,000 lines of code or equivalent.. on a 7 computer network.
Equals roughly 3 man years of work...
At $50/hour = $300,000
This cannot be replicated off-the-shelf or on a shoestring.
PairCo probably has roughly same amount of infrastructure.
This is the ballpark you have to be in...
To play this Game at a high level.
Most of the guys posting to threads about "Automated Systems" on ET...
Would have more success performing brain surgery on their cats.
i agree with everything HoundDogOne says except that i think less than 1% of the readers to this thread will have the skills or even try to obtain the skills. And 100K programming job is low pay now a days. Also, maintaining this data is quite difficult (ie. corp actions) and many firms would pay very well if you could come up with a good solution.
It's because of "swines" this, among many others...Quote from Tums:
who needs to call them? We have our ET resident pairs expert in Hounddogone.
That I will never post any truly useful "pearls" on ET.
Mr. Bright does it...
Because he make money on every precious little lamb...
That dares to sit on his knee.
All they have to do is breathe and click...
To keep the well-oiled Bright Cash Machine humming along.
"mean-reverting, short volatility, long correlation strategy"Quote from atticus:
Don has cornered the Pairs market with their exotic maths.
Seriously, it's a mean-reverting/short volatility/ long correlation strategy.
This a brilliant 7 word exposition.
And "exotic math" is not required...
But understanding basic market truths and building the right infrastructure is mandatory.
My favorite sport is NBA basketball.
There are 250 players that matter in the NBA...
And 250 players that are interchangeable "scrubs" of no significance.
The difference is not athletic skill... but a quality called "basketball IQ".
Below them are 3,000 Division I college players/year...
That will go straight to selling real estate or crack or whatever.
Trading is like that.
Top Pro Traders have "math, stats, and market IQ" that is of-the-charts.
It's easy for me to spot someone like that here.
If you can't easily separate the Pros from the Scrubs on ET...
Then you are a Scrub.