Pair Trading Strategy Journal

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

  1. Walt...i'm ok if my approach is right or your approach is right...as long as i figure out and ultimately move to the one that makes the most money.

    Hope we can keep exchanging ideas...

    Per my note last night I entered into a few trades this morning from the list last night: (long first)

    IWV/VTI
    PWE/PVX
    STR/HAL
    AVB/BRE
    UTX/CBE
    CLR/UNT

    I also did some scanning late today since I was around and 3 of my Monday trades hit their exit signals, all at a profit.

    Small profits (but profits!) on:

    NU/WEC
    BNS/BMO

    Nicer profit on
    LRY/NNN

    The fact that I'm 3 for 3 is somewhat misleading because I found before the losers take longer to close and i have some decent sized losers right now so i can not yet feel any real level of success.

    Also entered into a few that i found today at end of day:

    OXY/DO
    SPG/AMB
    TV/ITW


    Mike
     
    #1771     Jan 8, 2010
  2. Walt; as we go forward I'd also very much like to hear why you like certain trades better than others so i can begin to think about the same alternatives too.
     
    #1772     Jan 8, 2010
  3. waltbx

    waltbx

    Well I'm no guru, but I'm not shy about my ideas. I'm wanting to know what you are doing. We are in agreement -- let's get some profit.

    Walt B
     
    #1773     Jan 8, 2010
  4. waltbx

    waltbx

    Chart turned favorable this morining and I entered the pair

    Bot ARD 42.89
    Sold BTU 49.03

    RSI 29 and now rising.
    Profit potential at 50% reversion to mean = 1.58%, at 100% reversion 3.16%.
    In the past, BTU had an earnings report every January. I haven't found an announcement this January.

    Walt B
     
    #1774     Jan 11, 2010
  5. closed out:

    utx/cbe for profit; holding time 3 days

    4 for 4 so far but many still open at loss

    new trades:
    ISI/IWB
    TCO/BXP
    LFC/CEO
    VNO/KRC

    Two or 3 others almost had slightly profitable exit signals but turned ast last minute
     
    #1775     Jan 11, 2010
  6. ISI/IWB looked like an entry signal earlier but not showing anything close at end of day so scratch that one.. Unless I find differently I'm slightly up from my 3:45 entries and will close that out first thing tomorrow as an error. not sure what I saw earlier...
     
    #1776     Jan 11, 2010
  7. waltbx

    waltbx

    Good work on t UTX/CBE

    I sure would like my portfolio to always be profitable. But that isn't likely, because when a pair becomes profitable and hits the target, we close it out. That leaves the pairs still in process, and that's likely to be negative. So, don't dispair. I take heart in my closed trades, and try to worry less about the open ones.

    Note that when you entered the UTX/CBE trade, RSI was at a low 32. It reversed, and became profitable.

    I've been closely watching RSI as my first filter for over a month now, and lately refusing to enter a trade until the RSI has dropped below 30, or above 70, and shows a sign of reversing.
    I am excited about this approach, but can't yet give you results.

    I did miss a nice profit yesterday when HON/NOC RSI reached 76 and reversed to 67 yesterday. I should have entered right then. Today I would have had a 1% profit. I posted that chart 01/08 with RSI at 63 and rising. My intention was to enter after it passed 70 and reversed. But I overlooked it yesterday when I should have entered. http://www.elitetrader.com/vb/attachment.php?s=&postid=2694404)

    WB
     
    #1777     Jan 13, 2010
  8. waltbx

    waltbx

    Of those, I like VNO/KRC and will put it on my watch list. RSI is at 31 and still dropping, so I will wait until it drops below 30 and shows a sign of reversing.

    LFC/CEO is interesing, too, with a RSI of 28. It's reversing so I think it will be profitable.

    TCO/BXP? The RSI is not giving me any clear signals so I'm staying clear.

    Just my thoughts using RSI to evaluate.

    Thanks for sharing your picks.

    Walt B
     
    #1778     Jan 13, 2010
  9. Walt...thats for your thoughts... i'll have to think more about your RSI factor more.

    I'm finding more signals but one of my current criteria is not to hold the same stock in two trades and i have so many positions that many are overlapping.

    I did close out one trade; ESS/MAA for profit...so so far 5 for 5 in closed trades. Still have many open which are cumulatively negative.


    Got back late so did not have too much time to look at other trades. Did enter one: NFG/SE
     
    #1779     Jan 13, 2010
  10. waltbx

    waltbx

    Mike,

    Nice pick with ESS/MAA.

    Note, again, that the RSI had dropped below 30 and reversed before you entered the trade. It rose further when you closed for a profit (small). I keep seeing this with most profitable trades. I'm even watching many trades that continue to be profitable past reverting to the mean, as the RSI continues up to 70 (if history has a frequency of moving between 30 and 70). So I'm thinking of holding trades longer. I don't know yet.

    Walt B
     
    #1780     Jan 13, 2010