Pair Trading Strategy Journal

Discussion in 'Journals' started by jonnysharp, Aug 18, 2008.

  1. lol, and another one.
    Out NU:UGI @ 0.86 from 0.8533.
    ±Flat after fees.
     
    #1091     May 21, 2009
  2. fishing

    fishing

    is DJI dow jones?

    if so how do you hedge against eur/usd move? and do they tear apart at times like when DJI is closed and DAX is open?
     
    #1092     May 21, 2009
  3. Exited trade

    Sold PBNY @ 8.00
    Covered NWSB @ 17.78
     
    #1093     May 21, 2009
  4. Treve1

    Treve1

    Hello
    I am using pairtradefinder for three weeks now and I am successful so far. (from 28 trades I closed 17 for a profit and 1 for a small loose). I am basically following the same what Jonny is doing, but I am taking more trades every day.
    I have one question to Jonny or anyone using PTF:
    How do you interpret the PercentFromMean chart? I can’t understand how this is calculated? Is this the difference between the green and blue line on the ration chart? I got to know that the PercentFromMean is the % difference between the current ratio and the average ratio. Still I don’t know the formula for this calculation? I would appreciate if someone could give a simple example of the calculation?
    Thank you!!
     
    #1094     May 22, 2009
  5. tatankas

    tatankas

    Imagine:

    ratio=1.1
    Average ratio for last 14 days= 1

    Percent from the mean is 10% .

    PercentFromTheMean it's a indication of your possible profit. But do not forget ratio and average ratio, is changing every day.

    If you trade pairs where the percentfromthemean is to low (<3%), you will be working just for the comissions
     
    #1095     May 22, 2009
  6. I dont have much in term of stats;
    18 trades in about 2 months (been away a little while); 12 winners, 6 losers. Average winnner 1.03%, average loser -2.10%. This point out to my issue; I dont ride my winners.
    A little profit so far but the comish is eating a lot because I play so small. One big loss at the begiing was bad in the P/L also.
    I'm still in the experimental stage.
    As for the earnings, I can't say much. I play the technicals so even if there are earnings I might play but with tight stops and a short term horizon. I dont really recommend it, lol. I experiment and I may stop doing it. I'm a big fan of real experience, that sink into you and you remember it.
     
    #1096     May 22, 2009
  7. SCHW/AMTD in play. Double Signal.
     
    #1097     May 22, 2009
  8. 3 new trades;
    Short FDX:HUBG @ 2.7895
    Short TRV:RNR @ 0.9168
    Short NUVA:pSYS for a scalp (overbought intraday). I look at it righ now and if I could get out flat I would, lol.
     
    #1098     May 22, 2009
  9. New trade

    Long CLR @ 26.32
    Short ESV @ 34.86
     
    #1099     May 22, 2009
  10. Dr Who

    Dr Who

    jonny, now that I've bought PTF I would have thought I'd be running the latest version of it and on the face of it my number, v2.5..., is bigger than yours, v2.2g but at the top you have a 'Trigger' icon which I dont have.
    Can you let me know what this part of the app is ? I am aware that you run Beta tests, so it would be nice to know if this is part of an element we can all expect in the near future.
     
    #1100     May 24, 2009