Pair Trading Strategy Journal

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

  1. waltbx

    waltbx

     
    #1331     Jul 9, 2009
  2. ascheer7

    ascheer7

    Does anyone have alink for the latest version of PTF. The one on their website does nto have the time based exit and the other features mentioned here recently.
     
    #1332     Jul 9, 2009
  3. waltbx

    waltbx

    Thanks, that helps in figuring out how to get into the trade.

    IB 's combo order uses share quantity ratio for entering the pair, not price ratio for exit, as I understand it.

    I'm still looking for a way to set a system that will automatically (unattended) close out a pair at a price ratio, and not at a specified value for each leg of the pair. Say that I go into a trade with a Ratio = 1.5. Dollar neutral. I want to set an order to close out both sides when the price Ratio = 2.00. (Or better, set trailing stops) That could happen with many different prices/leg. I'm interested only in when the price ratio hits 2.00, not individual leg prices.

    How to do that automatically?



    Walt B
     
    #1333     Jul 9, 2009
  4. waltbx

    waltbx

    I emailed Jared several days ago, but haven't heard.

    Walt B
     
    #1334     Jul 9, 2009
  5. paper trade, testing Deutsche Bank SHORT against European equity index, Siemens, or oil

    rationale: above-average spike in DB price

    source of idea: finviz visualization maps. looking at DB volatility, and peer group performance.

    DB DEUTSCHE BANK AKTIENGESELLSCHA -163@$61.52

    against either of:

    a) IEV ISHARES S&P EUROPE 350 INDEX F +330@$30.32

    b) SI SIEMENS AKTIENGESELLSCHAFT +151@$66.24

    c) USO UNITED STATES OIL FUND LP +307@$32.69
     
    #1335     Jul 9, 2009
  6. mihalich

    mihalich

    about the new version:

    Yes we have just released an updated version. Please un-install your current version then download from www.pairtradefinder.com/PairTradeFinderSetup.msi then refresh all your pairs in the console. You will see a new trigger window for recent trading signals, custom exits based on the +/- in the preferences, also time based stop, you can backtest different settings and use the column tallies to see the sum/average, also we have email/CSV/twitter alerts, enabling you to send trading signals instead of watching the program. We have found using a 12-15 day time stop to significantly improve performance, especially reducing the size of big losing trades.

    email notification doesn't work for me though - still waiting for the reply from Jared
     
    #1336     Jul 9, 2009
  7. Maybe I don't understand you, but the combo order does let you set a price for the combo, not for each leg as you stated.

    Of course you need to do the math to convert your ratio price to the equivalent combo price. I don't setup my sell orders by using a projected sell ratio, but I would not think that is hard to calculate.

    Don
     
    #1337     Jul 9, 2009
  8. And, youu need the TWS openned all day on the computer, therefore, you can't access the account from somewhere else
    --------------------------------------------------------------------------------
    yes you can

    One acc.can have have two different user names and have them
    running from different siteswith IB

    cheers john
     
    #1338     Jul 9, 2009
  9. NKNY

    NKNY

    Your right Midas, anyone can file a ripoff report.

    The person who wrote the ripoff report claims that they are spying on peoples trading methods, can it get anymore ridicules. And I own my copy so what ponzi is he talking about.

    I think the writer is upset that the automated version isnt out yet.....So what, the automated version isn't out yet, big deal... they need to get all the kinks out of the one we are all using and we all know it takes time.

    Seems like there's an ax to grind here. I have no problems with Jared, well, besides doing away with the portfolio manager which nobody uses but me..lol But he always replies to all my emails within 24 hours.... And he even helped me move my database to another machine....Seems stand up to me...



    Nick
     
    #1339     Jul 10, 2009
  10. NKNY

    NKNY

    Try this, but just know that the portfolio manager is gone on the newest software in case you use it.


    www.pairtradefinder.com/PairTradeFinderSetup.msi


    Hey, does anyone have version 2.2g. I took off the latest version because I use the portfolio manager, got used to it I guess..lol but I went down to version 2.50727 and really want 2.2g which has the portfolio manager and the triggers....


    Nick
     
    #1340     Jul 10, 2009