Pair Trading Strategy Journal

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

  1. Sold JWN @ 14.55
    Covered ANF @ 24.36

    3.7% Absolute
    62% Annual

    Sold DRQ @ 22.03
    Covered OII @ 30.34

    7.2% Absolute
    165% Annual
     
    #391     Jan 5, 2009
  2. I really don't know too much about this stock, I play the technicals to do with pair trading mostly.
     
    #392     Jan 6, 2009
  3. Thanks pizza il check em out.
     
    #393     Jan 6, 2009
  4. Alright Ive had my holidays, time to get stuck back into trading, Ive revamped my watchlists and added a few more pairs, Ive got my watchlists split into industries now instead of sectors. Busy day today opened 4 new trades;

    Long SE @ 16.85
    Short EP @ 8.81

    Long GES @ 16.08
    Short JWN @ 15.20

    Long MT @ 25.75
    Short SID @ 15.14

    Long SIM @ 5.18
    Short GNA @ 7.00
     
    #394     Jan 6, 2009
  5. SIM- trades less than 100k shares per day. Is that of concern?
     
    #395     Jan 6, 2009
  6. Yes it averages a tad under 100k per day, Monday was 153k traded, it is on the low side for me, I wouldn't trade any stock that averaged significantly lower than 100k per day, however some of the these low traded stocks offer good trade opportunities as the big funds can't trade them and we can.
     
    #396     Jan 6, 2009
  7. hi jonny

    i repeat great journal and success in 09

    I see you have a comparison chart on your page.It looks like a great aid. Would that be available to me a none beta subscriber?

    cheers
    john
     
    #397     Jan 6, 2009
  8. Hi,

    Sorry if this is not the topic being discussed, but I often hear about the opening pair gap play.

    This works well on paper as if the spread increases a whole bunch to play to mean revert it. But how exactly is this executed.

    Stocks don't open all @ the same time, and if they do open I have to imagine the slippage of putting them both on are huge.

    Could you accomplish this by sending OPG orders? But what if they post aren't filled?

    I'm confused.
     
    #398     Jan 6, 2009
  9. I don't play pairs via OPG, I mostly use MOC orders to get filled. Id imagine it would be difficult to pair trade this way as you would need to use MOO orders and have a prior opening price indication and like you say stocks have staged opening so your other side could move dramatically after been filled on one side. I find entering just before the close or on the close to be the most effective way to get filled.
     
    #399     Jan 6, 2009
  10. Exited one trade for nice profits;

    Sold SUP @ 11.74
    Covered GNTX @ 9.10

    Opened 2 new trades;

    Long ETP @ 36.77
    Short PAA @ 38.98

    Long ALV @ 22.76
    Short MGA @ 35.73
     
    #400     Jan 6, 2009