Pairs Trading UK & US Stocks Journal

This is a discussion on Pairs Trading UK & US Stocks Journal within the Trading Journals forums, part of the Reception category; New trade in Agricultural chemicals Long AGU - 39.90 Short POT - 89.30...

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Old Mar 27, 2009, 3:34am   #91
 
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stocktrader77 started this thread New trade in Agricultural chemicals

Long AGU - 39.90

Short POT - 89.30
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Old Apr 1, 2009, 1:16pm   #92
 
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stocktrader77 started this thread Closed trade in US shipping industry for a profit

Sold TGP - 16.79

Covered TOO - 11.43
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Old Apr 2, 2009, 12:53pm   #93
 
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Stocktrader,

Been reading your journal with interest, keep up the good work! Having had the opportunity to demo trade PTF over the last week or so I have a few questions and wondered if you (or anyone else who has PTF for that matter) can help.

1. The +/- column....I know this is the spread...but what does it really represent? PTF seems to trigger signals when +/- gets above 2.00 (Is this akin to standard deviation?)

2. Do you consider trades which are already "in trade" if spread is good enough? (e.g. signal triggered one day, but then ratio continues to get even worse, would you reconsider option to take trade or layer in?)

3. I've put on a few demo trades so far, but realise that earnings can really throw things out the window (e.g. I put a trade on, then literally the next day the company gave a surprise trading update). I guess this is why position sizing in relation to overall capital still remains important.

4. I'm demoing via pricing on spreadbetting and I'm finding that unless the spreads are tight, you dont stand a chance at being successful. I'm assuming that DMA is the way forward (albeit having to pay commissions and potentially CGT).

Cheers,
Mikey

ps. All demo trades so far have been on NYSE, cant find anything decent so far on LSE.
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Old Apr 2, 2009, 6:25pm   #94
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Mikey

I downloaded PTF earlier this week and I'm currently getting to grips with it, so my comments don't have huge expertise behind them but to pick up on some of your questions ...

The +/- column is Standard Deviation but with a sign to indicate whether the current ratio is above or below the moving average.

I'm surprised that spreads are a problem. Spreads for the FTSE100 companies I look at are very small in relation to the movement required to close the "gap" between the companies. Can you give some examples where this is a problem ?

I've noticed that whether or not you get a signal depends in part on which item is on the left and which is on the right. My sense is that the instrument with the higher price should be on the left. (It appears to me that ratios and SDs are worked out to 2 decimal places; dividing the higher number (on the left) by the lower number (on the right) gives more significant digits to work with. eg: if RDSB is at 1562 and BP is at 461, then RDSB / BP = 3.39, but BP / RDSB = 0.30; a 15p rise in BP's share price gives ratios of 3.28 vs 0.30 respectively - a significant change in one case vs no change in the other case.)

By the way, on my system I noticed that data is missing for RDSB on 31 March and 1 April - haven't yet found out why. However, if you are experiencing the same problem with other companies this might explain why you are not getting many signals.

John

Last edited by JGH03; Apr 2, 2009 at 6:40pm.
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Old Apr 2, 2009, 7:38pm   #95
 
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John,

Appreciate the reply. Well my demo trades have all been US ones so far and any UK ones I considered were AIM listed stocks, so naturally the spread is dire for these (haven't had any signals for FTSE100 stocks yet, although haven't found the time or patience yet to upload every last stock in each UK sector).

I have an excel spreadsheet to keep track of larger FTSE100 ones and extract the data myself from Yahoo. I say this because the other day I went onto RDSB (both a&b) and few days data was missing from historical download so that may explain that.

Very interesting point about which code goes on the left. Never even occured to me, although I think you have a point. Im guessing there is probably not a quick way to sort/rearrange via the console/watchlist?!

Thanks.
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Old Apr 7, 2009, 3:59pm   #96
 
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stocktrader77 started this thread Sold VAR - 30.31

Covered SMTS - 14.26

---------------------------------
Sold AGU - 38.28

Covered POT - 83.48

Il chime in guys about the latest topic brought up after NY close, im busy trading atm.
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Old Apr 14, 2009, 8:16am   #97
 
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stocktrader77 started this thread New trade opened in restuarant industry

Long CAKE - 13.85

Short RRGB - 23.73
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Old Apr 15, 2009, 9:36am   #98
 
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stocktrader77 started this thread New trade in oil & gas sector

Long GTE - 2.43

Short STR - 31.49
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Old Apr 16, 2009, 12:56am   #99
 
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stocktrader77 started this thread Exited pair trade for good profits

Sold CAKE - 13.38

Covered RRGB - 20.47

Entered new trade in energy sector

Long ETP - 37.55

Short PAA - 40.01
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Old Apr 28, 2009, 2:21am   #100
 
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stocktrader77 started this thread Closed trade last week;

Sold ACGL - 56.06

Covered ACE - 43.99

New trade in Investment Brokerage Industry

Long SEIC - 13.93

Short OXPS - 14.07
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