Pair Trading Strategy Journal

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

  1. Dr Who

    Dr Who

    As I'm trading slightly differently to jonny and also trading UK stocks, I thought I'd share what's happening to my 'book' of trades.

    I'm using PTF to enter spread-bet trades with CMC at just £1 per point as I'm still learning.

    So far I have closed one trade at a profit (in just 4 days) of £188.39.

    I currently have 10 trades open, only 2 of which are losing and which in total are in profit to the tune of £189.11.

    At the moment I'm not really filtering the trades as strictly as jonny but I've chosen pairs that have a solid historic correlation of over 70%, have a high percentage of profitable historic trades and good longterm profit. Perhaps my slightly slack filtering will come back to bite me and I'll have to adjust things but that's how I like to work anyway as I learn from my mistakes. But things are looking positive at the moment, although as I've mentioned before, there are numerous shortcomings with the PTF interface which hopefully they will correct in the next version
     
    #861     Apr 24, 2009
  2. Ivan

    Ivan

    Hey Jonny,

    have you got updated software that I don't know about ? Where did you get the % column and percentfrommean chart ? I'm running the same version according to your pic (2.50727) but I can't find those settings...

    regards
    Ivan
     
    #862     Apr 24, 2009
  3. Dr Who

    Dr Who

    Now 3 closed trades. All in profit. Running P/L +£287 to £1/pt spread bet account. Open P/L +£114....
     
    #863     Apr 24, 2009
  4. Paulo33

    Paulo33

    Hello

    Thank you very much for the help of all the traders that posted in this thread, i l just read it from the biggining and learn a lot, i just downloaded a trial of PT and my first problem is wich sectors to choose to do backtesting if someone could help i would apreciate.

    Good trading for all of you



    Paulo33
     
    #864     Apr 25, 2009
  5. oby_2

    oby_2

    Ivan,

    I think the charts you are looking for are available under options by clicking on the pear at the top left of the page. You can then choose a charts tab and choose to show four charts - there are six available from memory.

    It would be good if all six were available easily, as there are 5 I like to look at to get support for a go/no go decision.

    Regards,
    oby
     
    #865     Apr 26, 2009
  6. Ivan

    Ivan

    Hi Oby,

    thanks for the reply, I"m familiar with the 6 charts provided by PTF, however I don't have the "percentfrommean" chart and also the % column when you "analyse pair" . The only columns I have are L & +/-
    So I'm wondering how Jonny got these as he appears to be running the same rev code software as what is available from PTF site (which I am) but he has this extra functionality

    regards
    Ivan
     
    #866     Apr 26, 2009
  7. Pachoo

    Pachoo

    Awesome thread and results. :)
     
    #867     Apr 26, 2009
  8. oby_2

    oby_2

    Thanks Ivan. I'll check my version when I'm home and let you know. I do recall Johnnie mentioning he was Beta trialing a new version previously, but he'll confirm that.

    Cheers
     
    #868     Apr 26, 2009
  9. Dr Who

    Dr Who

    Ivan,
    I was looking for those too but I suspect jonny has a different, pre-release version to the current download.
    One other thing that needs to be looked at imo is a way of being able to save (or highlight) your current traded pairs in the Console. I thought I could do that by clicking on the pin, which made the pair to go the top but it seems 'Save Layout' doesnt save the pinned pairs to the top. This would be handy because with many pairs its difficult to keep track of where your actual trades are.
     
    #869     Apr 27, 2009
  10. Ivan

    Ivan

    Yes I know what you mean, we need a separate watch list for open trades. I actually run multiple instances of the program on different PC's, one instance is dedicated to open positions, so no clutter to distract me

    regards
    Ivan
     
    #870     Apr 27, 2009