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; Everything you said is spot on Haddock, as you mentioned its important to filter trades no matter what the system, ...

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Old Feb 11, 2009, 2:56am   #31
 
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stocktrader77 started this thread Everything you said is spot on Haddock, as you mentioned its important to filter trades no matter what the system, thats what makes a great trader, a balance of systematic & discretionary application.
You can use real time data, Ive got IQfeed, although its only available with US stocks, I still use the free data feed for UK stocks. Glad to hear from another pair trader, there's not too many of us out there, any other practitioners are welcome to contribute to this journal, we may make something really useful for all of us.

Closed 2nd trade in the journal for good profits on both legs;

Sold BEZ - 13.83 (went long at 13.01)

Covered AIMC - 6.75 (went short at 7.25)

Opened 1 new trade, a US paper & products pair, what I like about this trade is not only the high correlation at 97.34%, but a sideways ratio chart at resistance levels and a nice ratio/rsi divergence, ive marked in the divergence for all to see.

Long Entry IP - 7.68

Short Entry BKI - 3.32

Haddock, what industries are you finding good pairs/trades in recently?
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Old Feb 12, 2009, 5:15am   #32
 
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stocktrader77 started this thread Opened 1 new trade in the US Oil & Gas Drilling Industry.

Long Entry BPZ - 3.51

Short Entry PDC - 4.72

Pair is currently more than 2.70 standard deviations from its mean.
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Old Feb 13, 2009, 3:42pm   #33
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Hi Stock,

Nice trading.

UK miners have given a few nice trades. You've got to watch your position size on those though, they do swing pretty wildly.
I'm taking much more care over position sizing with those, noting the percentage change required to revert to the mean and adjusting to suit my tolerance.
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Old Feb 13, 2009, 9:58pm   #34
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Pot/AGU
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Old Feb 14, 2009, 5:15am   #35
 
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stocktrader77 started this thread Opened 2 new trades, 1 pair in the US Property & Casualty Insurance Industry and another in the US Packaging & Containers Industry.

Long Entry ACE - 42.33

Short Entry ACGL - 63.42
-------------------------------------
Long Entry MWV - 10.85

Short Entry GEF - 32.17

Both pairs are more than 2.3 standard deviations from their means.
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Old Feb 16, 2009, 7:08am   #36
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Pairs trading report from IG. A different approach.
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File Type: pdf 081224_pairs_trading_report.pdf (4.06 MB, 3866 views)
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Thanks! The following members like this post: skelly22
Old Feb 16, 2009, 4:39pm   #37
 
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anyone know how to use excel to find correlated pairs? msg me plz if you do
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Old Feb 16, 2009, 7:07pm   #38
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anyone know how to use excel to find correlated pairs? msg me plz if you do
Read the above pdf.
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Old Feb 18, 2009, 3:34am   #39
 
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stocktrader77 started this thread Exited one trade today

Sold OSG - 30.02

Covered TNK - 10.58

entered new trade in a oil drilling pair

Long Entry WLL - 26.91

Short Entry HP - 21.75
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Old Feb 20, 2009, 7:24am   #40
 
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stocktrader77 started this thread Exited two trades for profit on both pairs

Sold CMCSA - 12.99 (went long 13.74)

Covered SJR - 15.00 (went short 16.51)

------------------------------
Sold ACE - 40.75 (went long 42.33)

Covered ACGL - 55.78 (went short 63.42)

So far in the journal->

Trades: 12
Closed: 5
Wins: 4
Losses: 1
Profit: $17,809

I trade 50k each side of the pair.
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Old Feb 20, 2009, 5:23pm   #41
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Thanks for the journal S77. I just purchased PTF and have entered my first pairs trade. I like the pairs you have found.

Lado
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Old Feb 21, 2009, 7:13am   #42
 
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stocktrader77 started this thread No probs Lado,

Exited another profitable trade today;

Sold IP - 6.12 (went long 7.68)

Covered BKI - 2.18 (went short 3.32)

Entered new trade in US shipping industry

Long Entry GLNG - 5.06

Short Entry ESEA - 4.23
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Old Feb 22, 2009, 10:23pm   #43
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Is there an optimal look-back period for finding pairs? I have read that it is a good idea to test pairs over multiple time frames but I don't know if that matters.
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Old Feb 22, 2009, 10:59pm   #44
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Another thing that I have read is that we should select pairs that have similar betas. The difference between the betas should be less than 0.2. The difference between the betas of GLNG and ESEA is 0.57 according to MSN Money's site. The difference between the betas of WLL and HP is 0.56 but the difference between the betas of MWV and GEF is only 0.13. Does the difference in beta values matter? If not, why not (how can a pair be market neutral if the betas are significantly different)? Click on the link below to read about the beta issue:

Pairs Trading, Convergence Trading, Cointegration
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Old Feb 23, 2009, 3:51am   #45
 
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Is there an optimal look-back period for finding pairs? I have read that it is a good idea to test pairs over multiple time frames but I don't know if that matters.
Do you mean for correlation? I just use a simple 100 day lookback for correlation, seems to work fine for me.
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