Market Neutral Trading


Legendary member
8,394 1,170
RogerM said:

Tony - lol - That's what makes a market! :D

No Rog, I understand the merriment in what you thought I was saying, but my point was I was being mis-quoted on what my pair trading approach was.

I agree, there are enough people going in the opposite direction to me to make a profit. And one day, it'll be me making the profit.


Junior member
28 1
RogerM said:
Not wishing to go "off topic" in this thread, I've posted in the options forum a strategy which I think should be more or less market neutral.

"I'd envisage this as a bit like a fishermans night-line - set it up and leave it alone until morning - or in this case, expiry - and come back and see what you've got."

"Anyway - those are the bones of the idea - a sort of market neutral strategy where big moves are neutral and sideways markets enable you to collect premium."

Interesting post there Roger.. I have to say I understand nothing at all about options so some of it is beyond me but I get the general drift.. which seems good sense..

I quoted a couple of your comments above which connect with the way I am thinking... so far for me my methods have definitely led to a situation as you describe, altho still trying to understand the movements, generally I appear to survive big moves but make most progress when the market drifts.. which I think then allows my stock pairs to find their own direction better.. which if I have picked well, re strong and weak selections, should be in my favour..

I like the fisherman line image too.. it does seem a bit like that to me too sometimes.. once my pairs are set I tend to sit back and wait and see.. and the watery theme continues then for me too.. the behaviour of the portfolio as a whole seems to ebb and flow like a tide.. or the swell of the ocean... pairs rise and fall.. edging closer to the stop.. and then bobbing back towards the target.. each time oscillating nearer and nearer to one or the other.. until with luck I can reach over the edge and net a live one.. or cut the line and let it fall if the other applies.. lol

I am getting carried away here so had better cease.. but thanks for the interest and input... interesting..


Established member
752 6
Niall - your "waxing lyrical" about wandering along the beach sounds just like my own aspirations. Happy to work at the trading, but definitely need a method that allows me to get away from the screen and do other things.


Junior member
46 6
long and short

Interesting thread. I can certainly empathise with Niall's preference for a long/short strategy.. Much less swings and the advantage of being relatively market neutral.

I have spent several months working on a long/short approach. So far I have not traded it for real but simulations show expected returns that are positive! Roughly 7-10% unleveraged.

The clear advantage of this approach is the stability irrespective of what the underlying market does. That said, the returns appear to be stable but not mind-blowing. It ought to be able to withstand some leverage though...
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