Pair Trading Strategy Journal

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

  1. magon

    magon

    Adrian, I hope you have traded the RMD:ACL because this went very well the your other pick did do so weel but it was pofitable as well
     
    #1641     Oct 21, 2009
  2. magon

    magon

    Adrian, I hope you have traded the RMD:ACL because this went very well the your other pick did do so weel but it was pofitable as well]

    RMD:ACL generated +3.6% and MR:RMD +0.86%

    I have been out of twon for the last week.

    Mark
     
    #1642     Oct 21, 2009
  3. magon

    magon

    The idea is besides the 2 Sigmas on the ratio look for the RSI (14) ~ 30 and also resistance and support level for the individual stocks.

    Mark
     
    #1643     Oct 21, 2009
  4. I'm still in MR/RMD with a profit exit set to 2.49%. Certaintly if ACL/RMD produced 3.6% it was the better candidate. Was this return based on the close, or when the ratio crossed the avg ratio intraday?

    Adrian
     
    #1644     Oct 22, 2009
  5. magon

    magon

    Based on yesterday's price at aprox. 3:45 I have all the pairs I'm watching on Quotetracker and you can see the realtime ratio.
    You're right the ratio still have touched the moving average. The fundamentals are no in your favor, PE=1.22 meaning the PE of the short is smaller that the long and EPS=0.55 meaning earnings per share of the short are higher than the long, so do not wait too long to close it.
     
    #1645     Oct 22, 2009
  6. magon

    magon

    I'm playing today CGV:HAL RSI is greater that 30 but the others I have found don't like them for other reasons.
     
    #1646     Oct 22, 2009
  7. waltbx

    waltbx

    Hey Mark,
    I use QT and have searched to find how it will display pairs and to see the realtime ratio. Haven't found it. How are you seeing pairs and their ratios on Quotetracker?

    WB
     
    #1647     Oct 22, 2009
  8. magon

    magon

    Sorry, no the ratio, I mean the gain / loss %
     
    #1648     Oct 22, 2009
  9. waltbx

    waltbx

    Still, how can QT be set to show a pair and the gain/loss% on one window?

    wb
     
    #1649     Oct 22, 2009
  10. magon

    magon

    Use one portfolio for each pair and enter the shares for the short side as a negative amount and it il show the P/L percent under gains at the left.
     
    • qt.jpg
      File size:
      73.3 KB
      Views:
      212
    #1650     Oct 22, 2009