Pair Trading Strategy Journal

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

  1. Darshan, in the Pilot box in the top left of the program, there is a icon that says Triggers, second one from the left. Click that and it should open a new tab named Triggers and that will list all the entries and exits. The newest triggers are the ones at the bottom of the list. I'm trading with the program live and i'm going to post my results when my trial expires, which should be the end of this week.
     
    #2001     Mar 29, 2010
  2. Darshan

    Darshan

    Thanks guys I appreciate it.. So these 'triggers' are everything..entry in the trade, layering in, and exits?

    It's weird you can't sort the triggers by time.

    also I noticed for these particular triggers, I only want it to trigger stocks with above an 80% correlation? This trigger is giving me all sorts of triggers that don't fit this critera. how can I set parameters on these triggers? I did it on the console window, but apparently they are independant of each other.

    I've also noticed when I analyize pairs sometimes there is no data, no chart, no prices? Is this some sort of glitch?

    Thanks again guys, I've been trading pairs manually for quite sometime, first time using software. I too will get involved and post trades etc.

    Best of luck!
     
    #2002     Mar 29, 2010
  3. The program has a "beta" release feel to it and has several bugs and could use some enhancements. The only setting that you can adjust for the trigger is the +/-. I think default it's set to enter on a +2 or -2 and exits at 0. All the other signals(correlation, spread, ...) you have to filter out manually. When you get a trigger, you can analyze the pair and see if you want to take the trade or not, but as of right now, you can only have the trigger alert you on the +/- settings.
     
    #2003     Mar 29, 2010
  4. coreed

    coreed

    Guys...Click on the 'Pear' icon in the top L/H corner of the app.

    Click on Preferences

    Here, via the 'Signal Settings' and 'Universal Layer Settings' tabs you can edit the variables for how/when signals are triggered.
     
    #2004     Mar 29, 2010
  5. Darshan

    Darshan

    Thanks for all your help guys I appreciate it.

    Quick question... When I was filtering my stocks on the back tester I only chose stocks that had an 80% correlation. Now when I'm looking at my console I see pairs with really low correaltions? I'm assuming the pairs on the console look at a different range? What range in particular?

    Thanks!
     
    #2005     Mar 29, 2010
  6. backtester shows average correlation defaulted to the past 100 days. console shows the current correlation
     
    #2006     Mar 29, 2010
  7. That's one of the bugs I'm talking about. In the back tester, it gives you the average correlation percentage, but not the current percent. So a pair could have an high average correlation, but now have a very low correlation. For example, the pair DIA/NX has a high average correlation ~85% but the correlation chart shows that it's falling off a cliff, and I wouldn't trade this example even though the back tester shows it as a good pair.

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    #2007     Mar 29, 2010
  8. Darshan

    Darshan

    Do you guys pretty much stay out of the trade before ex-dividend day, during and immediately after?

    I know some stocks, especially some REITS and utilities have huge dividends that could really skew the price quite a bit.

    how have you played the dividends? Where do you get your dividend information form?
     
    #2008     Mar 29, 2010
  9. yes, the program would be FAR more powerful if it didn't have so many ridiculous restrictions like this. I am in the process of coding my own system using VBA and excel which does a lot of what ptfinder does, but is far more powerful and versatile because its completely open ended. also, a major issue is that ptfinder crashes a lot when you are watching 500 pairs or more, even if you're running it on a top of the line system. there are easy ways to streamline the intraday calculations through smart coding, which will allow my excel spreadsheet to watch thousands of pairs at once rather than just a few hundred.
     
    #2009     Mar 29, 2010
  10. Darshan

    Darshan

    100 days? I thought it was 365, at least that is what the selection critera is set at as default.

    Does anyone know what the little pen to the left of the stock pair means in the console window?
     
    #2010     Mar 29, 2010