Pair Trading Strategy Journal

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

  1. coreed

    coreed

    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.
     
    #1841     Feb 19, 2010
  2. 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.
     
    #1842     Feb 20, 2010
  3. coreed

    coreed

    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
     
    #1843     Feb 22, 2010
  4. Got in the 3 pairs.
    Long: UNG/RZV 8.91/33.39
    Long: EWS/EWW 10.91/49.06
    Short: XLP/TIP 27.08/103.74
     
    #1844     Feb 22, 2010
  5. coreed

    coreed

    Totalkeops - Do you only pair trade ETFs?
     
    #1845     Feb 23, 2010
  6. Yes
     
    #1846     Feb 23, 2010
  7. saico

    saico

    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
     
    #1847     Feb 23, 2010
  8. coreed

    coreed

    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% ?
     
    #1848     Feb 23, 2010
  9. BD1

    BD1

    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.
     
    #1849     Feb 23, 2010
  10. OUT of EWS:EWW at half profit target. +1.71%
     
    #1850     Feb 23, 2010