Pair Trading Strategy Journal

Take ES-NQ pair volatility weighted, proportion: -2ES+3NQ, intraday range is about 600 usd, fade when it breaks out of the range. This is the basis, the rest is your creativity. Sometimes you'll see really wide swings, lasting weeks, be prepared to handle them.

 

So it would be ok to hold these trades for a few weeks? I'm not interested in day trading. Thanks.

 

Thanks. I'll take a look.

 

hi all, ive been away for awhile, but ive come back home now and not so busy, i still get plenty of pm's from everybody and yes i'm still pair trading, and doing well, ive been a bit bored lately so i thought i would start posting some trades again for us to discuss, i really enjoy the interaction with other pair traders and hope some old names here re-appear and we can crush the market together, dollar neutral style! and hopefully i can smash my prior record of 110% in one year!

ok, new trade today

Long SEIC @ 19.84
Short OXPS @ 17.09

what i like about this trade;

1) pair is 3.09 standard deviations from the mean
2) ratio chart is over extended and down-trending(i'm betting on a further decline)
3) RSI chart made a lower high
4) percent from mean is at historical high
5) pair backtests well with a 100% win rate, a very high 4.14% avg profit per trade with an average of 13 days holding time and a nice smooth uptrending equity curve
6) OXPS is over-valued relative to SEIC based on valuation measures PEG and PS
7) no earnings announcements due for over 10 weeks

attached is charts, fundamentals and backtest

 

Hi Jonny, nice to see you're back. Looking forward to seeing new posts.

Are you trading PROP or retail (couldn't find an explicit answer in the thread)?

If prop, what max. leverage did you ever use holding pairs overnight?

 

Hey Jonny,

Very happy to see your back.
I will be following your posts closely.
All the best and smooth sailing.

Japa

 

thanks guys, bob, i'm using IB.

 

Hi Jonny, nice to hear from you.

Just out of interest- I see you're using v2.96. I am using 2.89. Does Jarred notify you when newer version is available for d.load?

 

Im new to Pairs Trading and looking to get my head around it as its a bit different to way Ive previously traded.

Just wondering if there are many out there trading doing pairs fulltime or do most do it part time. And/or how many hours a week do you spend pair trading?

And can anyone share what a typical day is like for a pairs trader.

sleepy

 

v2.97 is available now for download on the Paitrade Finder website. I see now Jarrod is trading Forex using his Pairtrade finder software. Has anyone tried this startegy.