Backtesting report.
Yes Im on their beta testing list, just send an email to them requesting to be placed on the list. They give you a special link to download the...
Time based exits are good imo. You have to prove the case for using a stop loss, for example if you buy a stock and have a stop loss to sell it...
Thanks for the comments guys, well done mlsignups on your results too. Closed trade for profit Sold ACGL @ 56.06 Covered ACE @ 43.99 New...
Not sure I understand what your saying here, if infrequent big losses were an issue it would show up in the drawdown thus lowering the sharpe...
Filters are; 1) unique industry-only pairs 2) correlation above 80% and rising 3) non-trending ratio chart and good distance between ratio...
As per several requests Id thought Id do a performance update. Start of journal: 18th August, 2008 Cut off date: 22nd April, 2009 Return:...
Dr Who I can't comment on the portfolio mgmt feature, I didn't like it either and Ive been using a spreadsheet the whole time to record trades and...
Exited trade for profit Sold MGG @ 19.68 Covered ETE @ 24.18 Il do an performance update next week, going out now, have a great weekend...
Yes your right Don, im showing low correlation aswell, don't know how I missed that, first time Ive done that, anyway no biggie. Closed a trade...
I think fundamentals are only necessary if your average trade length is greater than a month, since most of us are only holding trades for several...
Yes I guess its a matter of opinion, to me it all looks fine, ranging ratio chart, spread at 50 day lows, 2.3 stdevs from the mean. Of course ive...
thanks keops, would be good if there were an ECN broker with capped spreads, ECNs have low spreads but they can quickly increase, you wouldn't...
Can someone please tell me what the current spread is on eur/gbp and eur/chf in TWS(interactive brokers) or what the typical spread on these...
Yes your right Walt thanks for pointing that out, I did a typo, ACE and ACGL are in the wrong lines, suppose to be; Long ACGL @ 59.16 Short...
New trades Long TRE @ 3.42 Short GFI @ 11.06 Long ACE @ 59.16 Short ACGL @ 47.51
Exited trade Sold THG @ 31.94 Covered PTP @ 30.07 New trade Long PUK @ 10.44 Short AXA @ 15.37
Walt, yes financials do backtest really well as you noticed, i think without the crisis and extra volatility they still are a highly profitable...
Yes I read a research paper saying the same, I have yet to test this theory, I think it mostly explains why profit from pair trading exists oppose...
1) Left stock / right stock 2) RSI of the ratio 3) Standard deviations from the mean 4) Highest stock price - lowest stock price
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