Here's the main problem I see with trading pairs. Your looking for something to STOP happening and go back to so called "normal" or mean revision. In my experience the market can stay abnormal far longer then my bank account in most cases. How do you deal with this issue ?
PTF uses a ''moving'' mean, not a static. In addition to that I use a 10 day time stop. I dont see that problem, Vespasian.
agreed....the 2 ways I used to look at it: Time stop = exit date - trade date when Time stop = 0; get flat Stop Price (Cost basis) =< Price + transactions costs + debit interest - ECN rebates - lending rebates; get flat....debit interest can get high so need to include it.
I started trading live on april 7 and never went negative on my account. Unrealized about 7%. 10 days by backtesting and experience of traders who use PTF for a much longer time than me.
As a general rule, the avg. volume is about the same on both ends. The last half hour almost always trades much more than the 15:00-15:30 half hour whilst the 10-10:30 can trade with the volume of the 9:30-10 period, moreso on the days that reports come out at 10.
Yes interpreting can be tricky, for layers, I would really prefer to see both increase, % and SDs. I can tell you this though. I have gotten in a few bad trades that SDs were decreasing while % increased. So now I really dont enter unless % is near extremes. Overall, I started trading pairs june 26 and I'm now up 3.5 % ... I keep positions small. I was underwater when I started by -1.8 % for about ten days. I love how I can avoid the market volatility. Just sold fdx/bought hubg yesterday..