Pair Trading Strategy Journal

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

  1. Magnas

    Magnas

    Opened new trades today:

    Sold AFG @ 28.19
    Bought ALL @ 31.18

    Sold BMY @ 26
    Bought WX @ 14.24

    Sold CS @ 51.36
    Bought NBG @ 4.05

    Sold GFI @ 12.30
    Bought GG @ 33.85

    M.
     
    #1971     Mar 19, 2010
  2. coreed

    coreed

    NBG has shown up in a number of signals lately. Unfortunately, I cannot short them, (or just about any other financial ADR) through my CFD provider. These are all available for shorting through IB, where I am in the process of setting up a small acct.
     
    #1972     Mar 19, 2010
  3. tman

    tman

    this am

    sold cb-all @ 19.90

    target 19.42

    sold more now @ 20.41

    target moved up to 19.51
     
    #1973     Mar 19, 2010
  4. coreed

    coreed

    For what it's worth: PTF signalled an exit on the 18th for this trade. As I was not in it did not monitor so closely:


    Sell OXY @ 82.34 (.93%)
    Cover CEO 163.8 (1.42%)
     
    #1974     Mar 22, 2010
  5. Darshan

    Darshan

    Does anyone trade oild/gold/REIT pairs?

    Just curious... I've been doing it for some time and the last couple of months have been a bit rough. A few stocks deviating like crazy and not regressing to a mean for weeks. I've found myself holding the bag and averaging into it.

    Wondering if anyone out there would like to communicate in regards to what they are looking at in these particular secotrs and so forth.

    After leaving my trading firm, I've been trading as a lone wolf an dI find that it has it's disadvantages.

    I've adapted my current model and it has worked very well for me. However I never really have a stop out point. I tend to keep averaging in. This has worked for me, however one out of ten trades really puts a dent in my account when it does run.

    Do you pairs traders have any critera on when to close out a spread if it keeps moving away from you?
     
    #1975     Mar 24, 2010
  6. coreed

    coreed

    I trade these sectors. As I am doing stat arb, look for the same thing as I do in all pairs i.e. High corr, nx Profit/Trade, % Winning trades etc.

    As far as cut off for losses I close out the position when one side of pair => -8.5%, unless other side =>+8.5%. B.tested this rule. Keeps you out of the big losers for small opportunity cost.
     
    #1976     Mar 24, 2010
  7. Darshan

    Darshan

    Thanks coreed for the reply!

    I assume that you are daytrading these pairs? What is your entry? -8.5 you mean the net between the two stocks, right.

    I'm actually revising my strategy that I won't enter a stock unit the net looking at a 10MA is greater than 10%

    What's your entry point? PM if you'd like, maybe we could chat more.
     
    #1977     Mar 24, 2010
  8. coreed

    coreed

    New Trade: NYSE Banks


    Sold BAC @ 17.47
    Bought IBN @ 40.35

    What I like about trade:


    Layer 2(2.5 SDs)
    Great 'Heartbeat' ratio chart
    Corr value high - Trend flat/up
    % -> Mean at high end of near term range

    What I don't:

    Spread chart is opposite of where I wld like it to be
    Financial stock - Still some residual risk with these.
     
    #1978     Mar 24, 2010
  9. coreed

    coreed

    I don't d.trade. Av. trade length = 10 days
    +/- 8.5% = open gain/loss of one side of pair
     
    #1979     Mar 24, 2010
  10. Darshan

    Darshan

    What's your risk? Target on this one?
     
    #1980     Mar 24, 2010