Pair Trading Strategy Journal

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

  1. coreed

    coreed

    Sold SAP @ 43.48(-.82%)
    Covered SRX @ 18.79(-3.19%)

    6 trades posted to forum

    3 wins
    3 losses

    Going through soft patch right now. Both UK/US markets.
    How is everybody else doing?
     
    #1861     Feb 25, 2010
  2. What software is the OP, and eveyone else using to find these pairs, and give signals?...Anyone use pairtradefinder.com ?

    thanks!
    kon
     
    #1862     Feb 25, 2010
  3. coreed

    coreed

    I am using PTF. I think most of the people on this forum use it.
     
    #1863     Feb 25, 2010
  4. I have my own home made tools. C++ and Matlab.
     
    #1864     Feb 25, 2010
  5. saico

    saico

    I use PTF only to scan for pair combinations. For signals I use the ToS software.
     
    #1865     Feb 25, 2010
  6. Whats the best time frame to take these trades off of? In most the examples I've seen, people use a daily.
     
    #1866     Feb 25, 2010
  7. BD1

    BD1

    salco, how have you setup tos to trigger signals? I also use tos and would like to know how to do this. Thanks.
     
    #1867     Feb 25, 2010
  8. saico

    saico

    New trade.

    Long LNC @25.02
    Short PRU @51.94
     
    #1868     Feb 26, 2010
  9. saico

    saico

     
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    #1869     Feb 26, 2010
  10. coreed

    coreed

    Covered BMY @ 24.53 (1.64%)
    Sold WX @ 15.83 (3.74%)

    7 trades posted to forum:

    4 wins
    3 losses

    New Trade: NYSE Oilservices

    Sold BJS @ 21.67
    Bought CGV @ 23.58

    What I like about trade:

    Ratio non-trending
    Corr chart is high(89%) and trending upwards.
    % -> Mean fairly close to near term historical levels

    What I don't:
    Short pair - would like to see spread at/near 50 day high
    Would prefer % -> Mean to be at extreme.

    Other traders:

    What indicators do you use?
    What reading do you need to see to validate those indicators
    How do you prioritise those indicators?
     
    #1870     Feb 26, 2010