Recent content by JGH03

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...

Thanks Stocktrader

Thanks. I had hoped for a higher success ratio, but perhaps that's unrealistic ! Do you always wait for PTF to signal an exit or do you apply your own criteria for terminating a losing trade ?

Presumably PairTradeFinder tells you when the ratio between the pair you are trading has moved sufficiently close together again and it is time to take your profits. Does it also give a signal if the pair keep on diverging and it is time to cut your losses ? And if so, on what basis is that...

LOL ! It isn't that there are insufficient opportunities among the shares - rather that I had already been thinking of opportunities in certain indices and commodities and was interested to know whether the software evaluates these.

Thanks Lado and Stocktrader. I was envisaging spreadbetting indices such as DAX / FTSE100 (or, strictly, their cash futures) rather than trading ETFs that are based on them - unless you recommend otherwise. I'm also looking at pairs such as gold / silver, which are very much out of kilter at...

Thanks Cap'n.

Thanks Lado. The case for the program (rather than manual methods) is stacking up further. Does it work with indices and commodities or just equities ?

I've been exploring the guidelines offered in the PDF this afternoon and done some calculations of my own. Based on the last 22 days' data it seems that the DAX and the FTSE 100 are 96% correlated and are good candidates for pairs trading. However, if the calculations are performed using EOD...

An excellent thread - thanks Stocktrader. This is something I've been thinking of trying but not yet had a crack at. The PDF is really useful. The examples imply that IG Index allows you to place non-integer stakes - is that the case ? eg: Long RDSA at £1.00 per point / short BP at £3.29 per...

The Gold:Silver ratio has been falling since the end of last year, so how about pairing short gold / long silver ? The ratio currently stands at about 69 (ie: 69 ounces of silver required to buy 1 ounce of gold), down from 87.5 at the beginning of December. For 18 months up to summer 2008...

Thanks Foredog. So I'd put 2 and 2 together and come up with the wrong answer: it is the movement since the previous auction that is significant rather than the change since the day's high / low. On checking your figures I was surprised to see the variance between the prices shown by my SB...

With salt in short supply at present this certainly sounds plausible. The real question is how much movement in the price is "enough" ? It would be good to know for sure so that I can avoid opening a new position if the market is within a few points of triggering an auction. Thanks.

The rise in price from the day's low is almost 20%. Looking back I see that there was also a gap in the graph from 13:12 to 13:17. At this point the price was 339 points below the high of 8:15. That's a fall of over 16% - or, expressing the fall as a percentage of the new low price - almost...

Not really. There are several entries relating to auction but none that answer my question. Thanks anyway.