Pair Trading Strategy Journal

Stat Arb Cleaning Up

Lots of independent corroboration that stat arb is making a lot of money in this tumult. Stat arb is basically trading based on the theme that stocks mean-revert over short horizons, and is based on statistical patterns. When applied to hundreds of stocks simultaneously, it has very low volatility. DE Shaw, Morgan Stanley, and Renaissance, are big players.

Anyway, for everyone selling indiscriminately in panic, their are lots of millionaires in hedge funds saying, 'thanks!' Note the lack of any large hedge fund blowing up in this mess.


I can corrobarate these on an intraday basis.

 

Just like to give a big shoutout to Paulson & Benanke for giving my portfolio such a magnificant boost today, nothing like a good ole government intervention to save the day, thanks guys.

Closed one trade today for profit;

Sold CCI @ 35.33
Covered AMT @ 39.71

Open trades: 10
Wins: 16
Losses: 0

Have a great weekend everyone.

 

First time in a week that my moc's filled "normal" instead of completely off whack.

I didnt even bother setting up pairs for friday or over the weekend.

I have all of my finance pairs blacklisted on my spreadsheet in case for some reason i fall asleep at the wheel

We'll see how this week goes...

 

Closed one trade today for a small loss;

Sold MUR @ 73.79
Covered APA @ 116.28

Open trades: 9
Wins: 16
Losses: 1

 

how are the open trades doing?

 

Yes open trades are showing a loss, however most of them show a loss before coming back to their mean. One pair ROK/WY is the bulk of my open loss's, it has diverged quite some more since i put on the spread, however trade management looks after that and it will come back eventually.

 

I was just wondering what the size of losers is looking to be compared to winners. Keep up the good work!

 

Thanks baggerlord.

Closed one trade today for a loss;

Sold GG @ 35.77
Covered AEM @ 64.05

Opened new trade today;

Long APA @ 113.65
Short DVN @ 102.15

Open trades: 9
Wins: 16
Losses: 2

 

Could you expand on this a bit?

 

Johnny.

You have a great thread going.

I'm just wondering how exactly you minimize the slippage on the opening gap for pairs.

Also do you wait for both pairs to officially open before you play the gap move?

Thanks