ING December put-call parity is out of whack; 15 put less 15 call creates a synthetic long with a discount of about $2.20; stock at 14.27 so...
dmo â regardless of whether going small or big, I am trying to understand the underlying risks, to better understand the probability for a loss...
Anyone with EFP experience - please respond to http://www.elitetrader.com/vb/showthread.php?s=&threadid=181986 I was not sure which is the...
I consider opening EFP positions (at IB) and holding until expiration in order to capture discounts or premiums. I also consider using high...
Did anyone here backtested: a. Time stop (always exiting trades if they have not reached the mean after n days, e.g. n=6 or n=8) . b. Stoploss...
I was searching for such a solution. Talking with Ninja Trader, seems to me that one could implement entries and exits for pairs by writing code...
I made the same request. Based on manual analysis on a number of pairs in the exported spreadsheets, seems to me results could be significantly...
To my understanding IB offers limit orders on combos, but not stop orders. So one could enter a pair trade with a limit order, but the capability...
Pairtrade Finder does not give you a backtest of a full portfolio, nor for a date range. At least not in a summary form. You can though export...
Quote from chiefraven: hey guys, anyone find correlated pairs by using excel or methods other than pairtrade finder? You can find a...
This would be a very good approximation. Helps a lot for quick mental calculation, but will not give the exact result in a spreadsheet. If the...
Johnnysharp, would you mind to clarify how would the ROI look like without leverage, or say what was roughly the average & max leverage you used?...
Johannysharp wrote: ROI = 64% since start of journal Annualized = 153% SP500 Outperformance = 102% since start of journal >>> Johnnysharp...
yobo, how far do you let trades that go against you run? what do you do as a stoploss? A stoploss on spread, e.g. a fixed number of standard...
Johnnysharp, could you please clarify what exactly you mean by "overextended"? Do you mean new high/low or something else? My gut feeling is...
Johnnysharp, thank you for the steady journal and sharing your results. Looking at the spreadsheet: Average profit of 1.46% per trade, 2.19...
Gabe - a key advantage of pair trading is the possibility to trade profitably while consistently being market neutral (in $ amount or...
Johnny - excellent thread, great trading. All the best for 2009. I have questions regarding trade management. You have mentioned that you do...
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