Pairs Trading UK & US Stocks Journal

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Old Jun 2, 2009, 10:14am   #106
 
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stocktrader77 started this thread New trade

Long BRE - 25.38

Short AVB - 64.43
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Old Jun 8, 2009, 5:30pm   #107
 
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Is the software analyzing correlation or cointegration?
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Old Jun 9, 2009, 6:47am   #108
 
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stocktrader77 started this thread I believe its correlation.
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Old Jun 10, 2009, 4:33am   #109
 
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stocktrader77 started this thread opened trade in shipping industry

Long TNP - 20.21

Short FRO - 25.71
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Old Jun 11, 2009, 2:27pm   #110
 
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stocktrader77 started this thread Closed trade for profits yesterday

Sold BRE - 24.44

Covered AVB - 59.92
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Old Jul 7, 2009, 12:38pm   #111
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Very very interesting thread, many thanks for posting this up
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Old Jul 16, 2009, 3:44am   #112
 
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This is a great thread, please keep it up.

Do you have any overall stats? eg % good/bad trades, profit/loss %, av profit %, av loss % etc etc
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Old Aug 12, 2009, 8:30am   #113
 
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stocktrader77 started this thread Guys, I'm going have to call an end to my posting on this journal, was fun to share my method with others and I made pretty good profits on the trades posted here. But i'm far too busy launching a new un-related business venture with my partner to continue posting here, Ive also stopped trading myself and outsourced my pair trading to the guys at Pairtrade Alerts where they trade their signals for me in a managed account, they actually do a far better job than I do, plus I don't have to do anything, so it's worked out great so far. If you guys want to keep posting, please do, il be sure to check in every now and then to read your comments, thanks for all your input and I wish you all the best in trading. CIAO
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Old Aug 18, 2009, 5:12pm   #114
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Who are you ?

Honestly - you arouse interest in this software and then dissappear ?

I have several questions for you :

1) Correlation is NOT cointegration - and cointegration is what pair trades depends on. A stock pair can be correlated - ie their prices move close together, but not cointegrated, ie they mean revert etc. Then you do the dickey fuller test to get a hedge ratio etc. The ideal look back period is > 2yrs - NOT 100 days as you say.

2) You say that you are an ex bank trader - and you dont know this basic fact ? I also noticed when Mr Gecko asked you about bootstrapping you didn`t seem to have a clue.

I might be completely wrong - but it seems to me that an ex bank trader would at least know about boot strapping and monte carlo etc.....if you are a vendor then just say so.

Thanks
Combo

Last edited by combotrader; Aug 18, 2009 at 5:13pm. Reason: spell
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Old May 30, 2011, 1:56pm   #115
 
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International Shipper UPakWeShip Launches U Crate Service

Charleston, SC, April 28, 2011 – UPakWeShip is pleased to announce the launch of its U Crate service, a revolutionary new way for customers to load belongings they need to ship overseas.
A solid wood crate with a hinged, locking lid to ease loading and security, U Crate provides much more protection than other containers and allows customers to load non-conforming items that would not fit in a standard box.

http://www.upackweship.com
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Old Nov 10, 2011, 11:46am   #116
 
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Re: Pairs Trading UK & US Stocks Journal

Hi, just wondering - anyone would be interested in puttting some life to this subject? I am starting to use PairTradeFinder for trading US stock pairs, have been backtesting for some months now and have almost 20 pairs in my paper portfolio. Any other soul around here would be interested in sharing ideas in this field?
Thanks
Martin

Last edited by lieblm; Nov 10, 2011 at 12:59pm.
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Old Jul 26, 2014, 10:39am   #117
 
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Quote:
Originally Posted by stocktrader77 View Post
Entered a trade on the NYSE, two shipping companies Overseas Shipholding Group Inc. (OSG) & Teekay Tankers Ltd. (TNK). I can see the ratio chart approaching the support zone plus there is a divergence between the RSI & ratio chart and high correlation at 94.71%

Long Entry OSG - 35.76

Short Entry TNK - 11.81
so do you simply buy 1,000 shares OSG and short 1,000 TNK? Do you use a limit or market order? Where do you place stops generally? Looks great.
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Old Jul 26, 2014, 10:44am   #118
 
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De Trend STock Prices

Quote:
Originally Posted by pedro01 View Post
That's an interesting pair - looks like only 40% correlation prior to November...

How do you protect yourself against a situation where the sector takes a nosedive and all players in the sector appear to be more correlated ?

Also - the big bear market we are currently in - most instruments are going down but that doesn't mean they are correlated per se - just that everything is going down.

I'd have thought that a strategy like this would be better in a non-trending market. How do you distinguish between truly correlated instruments and those simply moving with the market trend ?
Pedro .. to remove the effect of market trend, look at each stock versus the index i.e. stock price / index price. That way you de-trend the stock prices and then you can examine the correlation between the pair in the absence of the market trend.
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Old Apr 8, 2015, 2:08pm   #119
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Originally Posted by Captain Haddock View Post
Pairs trading report from IG. A different approach.
Captain Haddock, do you use CFD's/spread bets with IG for your shorts? Thanks.
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Old Apr 8, 2015, 2:12pm   #120
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Quote:
Originally Posted by stocktrader77 View Post
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

Stock
Wins: 4
Losses: 1
Profit: $17,809

I trade 50k each side of the pair.
Stocktrader77 - what does 'Covered' mean? Thanks.
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