Pair Trading Strategy Journal

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

  1. New trade;
    Long SNY/AZN @ 0.67
     
    #1271     Jun 25, 2009
  2. Dr Who

    Dr Who

    Just a quick update and question.

    I'm using PTF to trade UK stocks and have been doing so now for a couple of months. Because of my limited resources most of the trading is via spreadbetting combined with a few CFDs. I've gradually become more refined in my trades and they are now 74.5% profitable. However, there are fewer trades but I'm still up around £3000. So things are still going well, better as time goes on in fact.

    Now, I'd like to be able to quantify my 'edge' but I'm not certain how to calculate this for spreadbetting. Does anyone out there have a method for doing this or have a link to a relevant webpage ? Any help would be appreciated.
     
    #1272     Jun 26, 2009
  3. OUT SNY:AZN @ 0.65 from 0.67.
    Stop was hit @ 0.64 and I got out on the pullback.
    This is probably the wrong way to do it. lol
     
    #1273     Jun 26, 2009
  4. hi guys, i am make look at the following couple now:

    MBT (Russian cell operator, adr)
    VIP (Russian cell operator, adr)

    i am not have the access to pair software. the stocks are highly correlated, but the spread seems to be all over the place

    if anyone make look at it, can you say who is above whom and if tradable now?

    thanks
     
    #1274     Jun 26, 2009
  5. Damn! That's some tight stop you've got working there. I looked at the pair, and it's very nice imo.

    Are your stops working out for you?

    Adrian
     
    #1275     Jun 26, 2009
  6. the spread with a ratio of .35MBT - VIP has been from -.25 to 4.75 in the past 6 months. it is now at 1.25, down from yesterday's close of 2 so in the lower range with MBT long. i didn't check the news on them.
     
    #1276     Jun 26, 2009
  7. CBuster

    CBuster

    yes, the spread has had a massive move. and for good reason. VIP newsflow has been insane, involving the confiscation of a large stake from Telenor (norwegian telco company). some stocks i just wouldn't touch, and this is one of them at the moment.
     
    #1277     Jun 26, 2009
  8. ok many thanks for the info!!!

    yes, i think vimpelcom has been in litigation for a very long time, but i think it was over non-russian assets. it's main revenue stream is from russian cell users. so hard to say if it's only due to this court stuff

    i mean both companies are generally good companies, each with a large customer base

    i guess you're right guys, better to stay away now, but something to watch, maybe .. . pretty close competitors in that part of the world. but both stocks very unstable now
     
    #1278     Jun 26, 2009
  9. Dr Who

    Dr Who

     
    #1279     Jun 27, 2009
  10. Dr. I personnaly have no idea what you are looking for. Maybe why you dont get answers. Do you mean return on investment? Sharpe ratio?
     
    #1280     Jun 27, 2009