Pair Trading Strategy Journal

Yes I can see that. I wasn't aware that they are paying in stock, not sure how that works with my short position yet, typically with dividends the stock price reflects the dividend been paid out, so the drop in the stock price should offset the dividend payable.

 

Closed 2 trades;

Sold SFL @ 11.51
Covered VLCCF @ 14.75

Sold ZEUS @ 18.89
Covered SIM @ 4.95

Opened new trade;

Long BPZ @ 4.30
Short PDC @ 5.08

 

how's your performance so far?

 

Thanks for the reply, yes I will have to spend some hours backtesting. Did some initial tests today and yes the average trade is much bigger, but I need to collate the data and see the other charateristics it presents

Ivan

 

Thanks Jonny,

So far my search on the ASX has shown up virtually zero pairs Seems the USA being much bigger would be a better target. I've started backtesting at 2.5 stretch as I think the 3.0 would be too great. As you probably know the backtesting in PT is quite crude so it takes me a while to manipulate the trades thru excel.

From the thread it seems you have been successful with PT for your trading ?

All the best
Ivan

 

Hi Ivan,

I'd be interested in what you find. Looking back through charts RS divergence does seem to work quite well. Too bad it wasn't an automated function to detect it. Hopefully as time goes on they get more buyers of the program it will become more robust.

Someone else posted here that stochastic divergence was yielding good results when used with signals. It's probably showing the same general thing.

Lazy

 

anyone know how he is performing? i would love to see how effective pair trading is, however the post only shows the trade and not the pnl from the trade.

anyone know a place where i can check out the backtested performance of pairtrading?

 

Do you have the ASX stock code list? I can see many pairs. yeah 3.0 stretch has very few trade signals. yes PT has been working great for me.

 

you can see my trade results on page 71 of this journal.

 

Hi Jonny,

Have you begun to layer your trades as yet? I remember you stating that you were going to layer-in (average-in) during this year. Although it seems beneficial to layer-in, it does skew the risk/reward ratio.

thanks,

Walt