What you think of ATR? Adjust leverage based on ATR, does not makes sense to you?
Don, Imagine the following scenario: Stock A beta is 1 Stock B beta is 2 You short 1k stocks for stock A and long the same amount for...
There are different ways to calculate beta. You can use different time period and index reference. E.g. from yahoo help page: The Beta used...
Walt, according to yahoo finance CVI beta is 2.26 while DK is only 1.19. This could dissuade a dollar-neutral approach. But, i have some...
What was your stop? How are you setting your stops?
Not for me, I am still not trading financials.
It's just me, or lately it's almost impossible to find decent pairs?
I also can't understand this trade. According to my charts and to PTF, the ratio crossed mean ratio 1st of June. It's possible that you had...
According to yahoo finance TCO closed @27.94 and SPG @54.59 . Are you not trading in the end of the day, or these were the prices you got with...
No more than 10% on each position, and you will be fine :)
"It's a market of our own allowing us to profit" . Sorry, this sounds great, but I can't understand it. Why the big players would ignore the...
The trade was opened 15th April. The loss should be around 3.5%. Besides the loss, there is the opportunity cost and interest you have to pay...
Imagine: ratio=1.1 Average ratio for last 14 days= 1 Percent from the mean is 10% . PercentFromTheMean it's a indication of your...
Total, how are you doing? Can you share your statistics? I am asking, because I am following a different aproach. These 2 pairs are...
From IB WebSite: "An account must have at least USD 100,000 (or USD equivalent) in Net Liquidation Value to be eligible for a Portfolio Margin...
I am interested on Rob Friesen's book "Art of the arb ", if anyone wanna sell it at a reasonable price please PM
Any thoughts on the pair UTEK(long)-XXIA(short) ?
Backtesting has one problem. Probably your backtest will consider trades triggered by news specific to a particular stock. I guess you will...
If, your short-side beta is much larger than your long-side, you are losing market-neutrality, and in fact, betting that the markets will decline...
Interesting. Are you taking note of stocks beta? Can you calculate average beta for short and long sides? How many pairs are you holding?
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