New Trade: Bought WX @ 15.26 Sold @ BMY @ 24.94 Signal taken at Layer 2(2.5 SDs) What I like about trade: Good oscillation around mean on ratio chart. High corr. % - > Mean is at historical extremes (4.83%) At Layer 2 What I don't: Spread is not at 50d extreme. Recent action on corr. chart is pointing down. Of all the indicators I look at I give the least weight to the spread chart. My primary indicators are: Ratio chart % - > Mean Curious to know how other traders filter.
Watch list, all ETFs: UNG / (0.3265*RZV) EWS / (0.2349*EWW) XLP / (0.2515*TIP) Did not yet made any fundamental analysis or dividend watch.
Sold GFI @ 11.92 (6.91%) Covered GG @ 38.74 (-12.52%) Sold FITB @ 12.59 (9.29%) Covered WBS @ 16.47 (-6.88%) 5 trades posted on this forum: 3 wins 2 losses
Since I was not happy with the results lately, I made some tweaks to my pair trading. Here is the first trade. Long PVA @25.90 Short SFY @28.79
New Trade: NYSE Pipelines: Bought WMB @ 21.10 Sold MMP @ 43.76 What I like about trade: Non-trending ratio chart % -> Mean at near term historic levels Corr. chart flat at high reading(90%) 50d Spread at extreme What I don't like: Nothing. The perfect set up according to my trade parameters. There is still no guarantee that this trade will be profitable. No matter how strictly I filter, av win rate fluctuates around 70% Anybody getting > 70% ?
144 trades since 8/2009. Win rate 72.2% Ave win 1.45% Ave loss 2.18% There is some learning curve in these numbers and lately ave win/loss have been the same. I had a couple of larger losses that I let run too long. Now I am better about cutting losses. Have also gotten a bit better at exiting trades. In the early trades I gave up a bit of profit being impatient on trade exits. All this comes with hands-on experience. Overall I am pleased with my trading results and the pairs strategy. I expect I can do better on ave win/loss % but I think overall winning trades will be around 70%. That is what many others do and what many of the studies show. To use an american sports analogy, this strategy is about hitting singles not grand slams.