Pairs Trading UK & US Stocks Journal

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Old Feb 6, 2009, 8:57pm   #21
 
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stocky, thanks for all that , IE screen shot and so on..
I guess it is more like a swing strategy..
But
-did you ever got in and out of a trade in a day ?
-how do you take your profit ? in % ? in $? other ?
-do you average ? i mean you go long and short one day and then you ad long / short a day or 2 latter ?
-do you scale in ?
-do you scale out ?

thanks

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Old Feb 6, 2009, 9:17pm   #22
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Can you go into more detail about the maths of your trades?

How are you determining the correlations, how you consider a divergence significant to trade? That kind of thing...

Great thread.
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Old Feb 7, 2009, 12:04am   #23
 
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Quote:
Originally Posted by imex68 View Post
stocky, thanks for all that , IE screen shot and so on..
I guess it is more like a swing strategy..
But
-did you ever got in and out of a trade in a day ?
-how do you take your profit ? in % ? in $? other ?
-do you average ? i mean you go long and short one day and then you ad long / short a day or 2 latter ?
-do you scale in ?
-do you scale out ?
Yes Im swing trading pairs, don't like day trading anymore its a very slim margin game. I close positions when a exit signal is triggered by the software. Currently I don't scale into my trades, just 1 layer does me fine.
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Old Feb 7, 2009, 12:45am   #24
 
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Originally Posted by MrGecko View Post
Can you go into more detail about the maths of your trades?

How are you determining the correlations, how you consider a divergence significant to trade? That kind of thing...

Great thread.
I don't do any math or determine correlations, etc.....Ive got software to do that for me, I simply follow the entry and exit signals and focus on staying consistent and keeping the risk spread out. I set my standard deviation at 2.00, i.e.......I get entry signals when a pair diverge's 2 stdev from its mean, also I only watch pairs above 80% correlation.
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Old Feb 7, 2009, 12:59am   #25
 
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stocktrader77 started this thread Closed 1st trade of the journal with very nice profits made on both legs, this was the shipping pair trade I placed 2 days ago.

Sold SFL - 11.58 (went long at 10.94)

Covered VLCCF - 14.74 (went short at 16.54)

Have a great weekend everyone.
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Old Feb 9, 2009, 11:27pm   #26
 
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lol, looking good. This will work nicely!
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Old Feb 10, 2009, 12:23am   #27
 
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stocktrader77 started this thread Entered trade, a pair from Oil & Gas Sector on the NYSE,

Long Entry SFY - 15.89

Short Entry ROSE - 7.14
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Old Feb 10, 2009, 2:26am   #28
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Originally Posted by stocktrader77 View Post
I don't do any math or determine correlations, etc.....Ive got software to do that for me, I simply follow the entry and exit signals and focus on staying consistent and keeping the risk spread out. I set my standard deviation at 2.00, i.e.......I get entry signals when a pair diverge's 2 stdev from its mean, also I only watch pairs above 80% correlation.
OK - Spam alert.

Seems to me you are blindly following the calls your software makes for you.

Over what period are your correls + S.D generated from? Do you bootstrap the data?
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Old Feb 10, 2009, 3:09am   #29
 
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stocktrader77 started this thread Gecko, I am not spamming.

I filter the entry signals according to my own discretion, news announcements, what industry the signal is from, etc...I do follow the exit signals blindly though, I measure correlation using 100days and have signals been generated at 2 standard deviations from the mean,

what do you mean by bootstrap the data?
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Old Feb 11, 2009, 12:51am   #30
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I'll also pipe up and say it's a great bit of software if you don't want to plug the data into excel yourself.

It's not a magic black box indicator. Pairtrade finder uses a 14 period daily Moving average as the mean on the ratio chart and then fires a signal if a number of standard deviations is touched (a bollinger band) This can be set to your preference. EG: 2 as ST77 uses.
Draw a 14 period 2SD BB on any of the ratios mentioned and you'll see the same signal. It's just pairtrader packages in a user friendly way and has the handy feature of backtesting all the pair correlations for you.

As stocktrader has mentioned the art in picking pairs is not in just the signal but also the pattern of the ratio chart. Tweak it with an rsi/stoch oscillator on the ratio chart and/or an osciallator on the individual stocks as required.

My only gripe with it is the inability to connect to your own realtime data feed.

Great thread by the way StockTrader, interesting to see some new pairs popping up into the radar.
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