Pair Trading Strategy Journal

ADF is...?

 

Jonny,
Are you still posting your daily pairs and results? Looking forward to seeing that.

 

I see, Augmented Dickey Fuller.

 

Dukatu -

Thanks so much for the clarification. Interesting idea on the 3-legged combo. Certainly going to check this out.

 

Sell: ALL
Buy: MET

ADF: 5.5

 

Just curious: Is anyone using PTF with FX crosses or have views on correlation trading ccy pairs against another?

 

A little bit risky, but anyway:
S EMC
B ABDE

Dollar neutral.

 

Sell RYU
Buy XLU

Thought liquidity in RYU would be a problem, but it turns out to be better than it looks.

 

high risk trade..why it should change now?

 

EMC has been featuring in my list of SELL candidates for the last couple of days.
I thought market overreacted on ADBE post earnings and it was quite tempting to buy it. So I coupled them.

Currently the pair is in the money, however I still don’t feel quite comfortable walking away from my classic system.