Pair Trading Strategy Journal

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

  1. mike4628

    mike4628

    Thursday 27 may

    Out

    CNA-AFG 3.9 % profit
    DDR-CBL 1.3 % profit
    FLS-JBT 0.6 % profit


    IN

    Long SLT
    Short FCX

    Long ROK
    Short RBC

    Long EDR
    Short CLP


    Mike
     
    #2131     May 28, 2010
  2. OIH is dramatically oversold at the moment, popping up on my radar everywhere as a buy, probably due to the gulf oil spill, fading these types of situations usually pays off in the long run.

    My favourite right now, currently 2.95 standard deviations and 13.71% below its mean, huge divergence;

    Long OIH @ 89.48
    Short XOP @ 39.43
     
    #2132     Jun 2, 2010
  3. IB recently sent a notice saying that stock vs stock combo orders will not be guaranteed. Other types of combos are still guaranteed, e.g., stock vs option, but not stock vs stock.

    I'm guessing that IB got burned during the recent flash crash and has decided not to guarantee stk vs stk combos anymore.

    In that same notice it said that you could still place such combo orders but they would not be guaranteed.

    Today I noticed that my combo orders were not actually placed. That is, they did not show up in my pending tab.

    I called IB and they said they have decided not to support stk vs stk combo orders at all and my orders had all been cancelled.

    I'm wondering if I got the right answer from IB. Can anyone else confirm this new IB policy?

    Don
     
    #2133     Jun 3, 2010
  4. mike4628

    mike4628

    This Week

    OUT

    cvi-ch loss -6.00%
    bpo-jll profit 3.75 %
    oge-dte loss - 1.21 %
    kim-mac loss - 3.2 %
    slt-fcx profit 2.4 %
    pld-tco loss - 10.1 %


    IN

    long smtc
    short brcm

    long hcp
    short vtr

    long kbh
    short dhi

    long fult
    short mtb

    long htld
    short knx


    Mike
     
    #2134     Jun 3, 2010
  5. Darshan

    Darshan

    hey Johnny it's nice to hear from you again. After reading through ever pahge on this thread you kinda have almost like a cult following;)

    I'm using the old settings you used to use 20/12/12/12 and wondering if you have tweeked those at all? I've been using those settings and well, been more or less treading water with them. Anyways hope all is well. Thanks for all you input on this site.
     
    #2135     Jun 11, 2010
  6. Mike,

    Do you have all your results in one place? If not can you post some consolidated results?

    Thanks,
    Mario
     
    #2136     Jun 11, 2010
  7. to those of you using pairtradefinder.com i could use a little help. my computer runs fine until i open ptf, at that point cpu usage hovers between 90 and 100%. i am running vista, have updated to newest ptf version. have any of you come across this or have any suggestions. my computer has just shy of 3 gb of ram, i was thinking i might need to bump that up.
    thanks for any help.
     
    #2137     Jun 12, 2010
  8. cmphil

    cmphil

    I've never used pairtradefinder.com -- who wants to pay for pair trading software??
     
    #2138     Jul 1, 2010
  9. cmphil

    cmphil

    #2139     Jul 2, 2010
  10. waditude

    waditude

    For those of you who have pairstraded for some years, what type of returns have you achieved and how have these returns varied year-by-year?

    I am considering getting into this game. No, I have not read all 300+ pages of this journal, but I certainly will if the light at the end of the tunnel is bright enough. If one is intelligent, uses proper money management, and does one's homework, what may he expect?

    Thank you.
     
    #2140     Jul 4, 2010