Iris Pairs Trading Platform

Interesting. I've very recently (since last September) started a kind of trend following strategy for index pairs. e.g. S&P500 v ASX. It seems to me that these can exhibit strong, long lasting trends.
Attached images show a graph of (16 * SP500) / (5 * XJO) with last two trades marked. Still learning and clearly the exit points sucked. Cost of carry is a bitch with this as well.

 

And that same pair over the last few years to better show trend.

 

I trade a number of ETFs as well (and yes the cost to carry is very high). Here's a rather odd pair that I traded over the last few days..and exited everything today. The blue line is the STD curve and the red line indicates the % divergence/convergence. You can see my entries in green and exits in red (apparently too early).

 

ok, so I gather this will be another picture posting thread showing how great the app is... wasteful... oh well... you guys have fun.

 

Hi.

I was just watching some of the videos on your site. I like the black box feature. Curious how long of a look back period you guys use for swing trades to trades that last a couple of weeks. For daytrades I see you use about 20 days and sometimes hold a few days as well.

Also, I saw in the video that sometimes you go in with 100k on one pair. Isn't that a little too risky. A stock can be halted and then cut in half intraday. Wouldn't you be better off with many small positions as opposed to fewer large ones.

Overall I'd like to try the free trial soon.

Thanks

Nick

 

Good morning Nick,

Without getting too specific here, as a general rule of thumb I take my expected hold time and multiply that by 2 for a lookback value (with 15 days being the minimum).

As for the size and number of pairs on at any given time, that's relative to the trader's risk tolerance, overall bp, etc. Perhaps 100k is a relatively small position to that trader.

 

Here is a condensed pic of a typical Iris layout.

 

We are pleased to announce our latest partnership with Lightspeed Trading, now offering the Iris pairs trading platform to all their retail and institutional customers.

http://www.bizjournals.com/prnewswire/press_releases/2013/03/07/CG72970

 

I guess they have to update their website still...

 

Within the next couple of weeks we will be rolling out the feature to lean net long or net short based on a % of your overall exposure.