Recent Content by RogerWilco

  1. Pair Trading Strategy Journal

    I tried paper trading on different loopbacks. When you increase stdev loopbacks you get less trades and it takes more time for them to converge,...
    Post by: RogerWilco, Mar 16, 2011 in forum: Journals

  2. Pair Trading Strategy Journal

    If loopback is on daily data (I believe that you still use hourly prices for your loopback calcs), then I would assume that most of your trades...
    Post by: RogerWilco, Mar 14, 2011 in forum: Journals

  3. Pair Trading Strategy Journal

    AFAIK PTF doesn't support intaday loopbacks. Which lookback period do you use for your STDEV calcs (I believe you're not using any correlation...
    Post by: RogerWilco, Mar 14, 2011 in forum: Journals

  4. Pair Trading Strategy Journal

    May be I will share not the brightest idea, but why not to paper test ETF pairs (or stocks) intraday which correlate on a longer time frame ?...
    Post by: RogerWilco, Feb 23, 2011 in forum: Journals

  5. Pair Trading Strategy Journal

    I believe that commissions will eat all the profits, especially, on the small capitals.
    Post by: RogerWilco, Feb 22, 2011 in forum: Journals

  6. Pair Trading Strategy Journal

    ar1zona, do you need to identify pairs which converge/diverge within one day? If you're talking about regular Z distances (2.0 to track...
    Post by: RogerWilco, Feb 22, 2011 in forum: Journals

  7. Pair Trading Strategy Journal

    He asks $500 for PTF or his robot, hence, he needs just 2000 purchases to make a mil. But youe can make much more (and much quicker) on prop....
    Post by: RogerWilco, Jan 27, 2011 in forum: Journals

  8. Pair Trading Strategy Journal

    If it really had, he could have started a serious 1B hedge fund already rather then spamming over e-mails like "how to create an iPhone...
    Post by: RogerWilco, Jan 27, 2011 in forum: Journals

  9. Pair Trading Strategy Journal

    I've put together a simple Java program which reads all the stocks from Yahoo Finance, gets the 500 day historical prices for all the stocks for...
    Post by: RogerWilco, Jan 13, 2011 in forum: Journals

  10. Pair Trading Strategy Journal

    Yes, virtually (on paper) though. I have a universe of over 800 backtested pairs with the only criterias of a) pair being correlated with avg...
    Post by: RogerWilco, Jan 10, 2011 in forum: Journals

  11. Pair Trading Strategy Journal

    I started my paper trading on Nov 17 and by Dec 17 I was about 4.6% when margined 100% with RegT. Out of more then 250 completed trades I lost...
    Post by: RogerWilco, Jan 10, 2011 in forum: Journals

  12. Pair Trading Strategy Journal

    Can you guys pls share how you deal with rogue trades? I am not talking about the ones which diverge more, but more about the ones which do not...
    Post by: RogerWilco, Dec 21, 2010 in forum: Journals

  13. Pair Trading Strategy Journal

    mpat89, I would believe this is quite a normal thing when the ratio continues to diverge until the trend reverses (which will happen sooner or...
    Post by: RogerWilco, Dec 8, 2010 in forum: Journals