New trade taken premarket. Long AU @34.78 Short GFI @11.22 I like the WMB-MMP trade alot too, but will wait for some better entry prices since my extremes arent reached yet. Of course there is the risk of missing a good one by doing that.
The thing I dont like at WMB-MMB pair at the moment is, that the spread makes new 12 months lows. That would make me atleast cautious on the trade.
BD1, a question if I may: Are your percentages return per trade or return on capital used? People are often unclear about this, and the difference is significant.
Do you trade reversion to mean (rtm) with pairs, or is it a continuing trend. I've observed two schools of thought: (1) RTM on cointegrated stocks (2) Anticipate that the divergence or convergence will continue with the given pair. Fundamentally, it's always better in the long run to go long with the better company and go short with the weaker company. However, determining which stock is the stronger and the weaker is often times a bit tricky since yesterday's performance is no guarantee of future outcome... Walt
Bigsalid and jones: I am calculating individual trade return then an average of all wins (losses). So if I am investing 10,000 for each pair then my trade return (p&l) is trade return/loss divided by 20,000. I am using the pair trade finder software and sticking pretty much to it's standard setup. It is just a simple revert to the mean based on 14 day MA. I avoid earnings releases and other big news items. Average trade length is 6.4 days. I have a time stop loss of 10-12 trading days. Most trades are losers after 8 trading days. I average about 6 trades a week with anywhere from 2 to 15 trades open at a time.