ASX Stock Pairs Trade Journal

[MRC & Co]

by saying tech/a is close to a load of crap and thats fine, its no co-incidence 90% of traders lose

well pro's buy and short stocks, the biggest hedge fund in the world is based on the pair trading concept and I can assure you all no successful hedge funds out there are trading ''hammers'' on the candlestick chart, lol

Love the thread and your idea Pairs.

But I have to disagree, some of the richest traders in the world, don't use a pairs trading concept, nor do some of the best performing Hedge Funds.

Let's look at some of the best known (and wealthiest) traders: Paul Tudor Jones 2, uses t/a.

Stanley Druckenmiller and George Soros are two great traders, with billions to their names and aren't statarb, but global macro and Druckenmiller uses t/a himself.

Then you have Victor Niederhoffer, who is/was one of the leading experts on the subject of statarb from what I am aware, with a fund of which blew itself up.

I wouldn't keep referring to 'the pros' as those who spread trade. It is just one form of many methods which can see significant profits and similar risks IMO.

Agree on break-out trading though, most of the time.

 

[Pairs Trader]

Closed trade

Sold AXJO @ 3952 (2.33% profit)
Covered N225 @ 9732 (4.21% loss)

20 wins
1 scratch
2 losses

 

[Pairs Trader]

Love the thread and your idea Pairs.

But I have to disagree, some of the richest traders in the world, don't use a pairs trading concept, nor do some of the best performing Hedge Funds.

Let's look at some of the best known (and wealthiest) traders: Paul Tudor Jones 2, uses t/a.

Stanley Druckenmiller and George Soros are two great traders, with billions to their names and aren't statarb, but global macro and Druckenmiller uses t/a himself.

Then you have Victor Niederhoffer, who is/was one of the leading experts on the subject of statarb from what I am aware, with a fund of which blew itself up.

I wouldn't keep referring to 'the pros' as those who spread trade. It is just one form of many methods which can see significant profits and similar risks IMO.

Agree on break-out trading though, most of the time.

Im not saying every successful trader uses pair trading, just the majority of them use a variation of it. Yes some of those big time traders use tech/a but not in the sense that is portrayed in tech/a books or how most retail traders use tech/a.

 

[awg]

Closed trade

Sold AXJO @ 3952 (2.33% profit)
Covered N225 @ 9732 (4.21% loss)

20 wins
1 scratch
2 losses

what are yr criteria to exit a losing trade?

 

[Pairs Trader]

the same for a profitable trade, when the pair comes back(or near enough) to its mean.

 

[Pairs Trader]

New trade, first trade in financial's in a long time

Long NAB @ 22.12
Short ANZ @ 16.68

 

[skc]

New trade, first trade in financial's in a long time

Long NAB @ 22.12
Short ANZ @ 16.68

NAB going ex-div today probably contributed a lot to the signal?

 

[Pairs Trader]

yes it did, however its still oversold relative to the sector taking into a/c the 73c dividend.

 

[Pairs Trader]

New trade

Long UGL @ 10.11
Short MND @ 11.18

 

[megadave]

Hi Pairtrader!

I wanted to thank you for sharing your great ideas and approach.
There is still some questions i would like to ask you.

Does the Sell Ratio - Buy Ratio give you your profit (% change) of your whole position?
How do you calculate your p&l by only using your ratio entry and exit?

Can you explain to me what a RSI divergence is. I still don ´t get it.

Why is a spread price at a low or high a signal? Doesnt it mean the price is trending and by doing new high or lows - this should be a bad sign?
If a ratio is at a new high or low this would definetly be not good!

I found out that there is not so much high correlating stocks in australia. There is nearly noone correlating more than 90%. So this is quite a tough market it seems.

Will there be a way in the future of screening for non trending ratios. This would simplify the backtesting. I mean by filtering out strong trends or pairs that are still in a trading range, this could really save some time.

Will there be a tool to track positions better in the future?

Will you add on something for IG markets to trade directly out of pairtrade-finder?

Is it possible to filter for both correlations above 85% and other indicators (%mean, std, etc.)

Thanks you

Megadave

 

[Pairs Trader]

Exited trade

Sold LGL @ 3.22(0.31% loss)
Covered SGX @ 6.40 (6.13% loss)

 

[Pairs Trader]

Megadave,

I calculate PnL by the % difference between the exit price and entry price, don't use the ratio at all. A RSI divergence is where the RSI is moving in one direction and the ratio is moving in another, you want to trade in the same direction of the RSI. Ideally you want to fade new highs/lows on the spread chart as most of the time it will move back into its normal range. I have quite a few ASX pairs above 90% correlation. Yes we are constantly improving the software and filters are something we are going to incorporate soon. Yes we are working on an API connection and a front end direct to a broker.

 

[megadave]

Hi!

Does pairtradefinder reload all the stocks after every new start?
IT takes quite a lot of time.
Is there a way to not do that?

Thanks
Megadave

 

[megadave]

hi i looked into 2 trades
could you do your analysis on it?

BBV and STD in us (long bbv short STD)

and AMTD short SWIM LONG

both highly correlated


thanks

megadave

 

[Pairs Trader]

Closed 2 trades this morning

Sold MLB @ 1.80 (12.22% loss)
Covered IRE @ 6.48 (2.00% profit)

Sold UGL @ 10.25 (1.38% profit)
Covered MND @ 10.81 (3.42% profit)

21 Wins
4 Losses
1 Scratch

 

[Pairs Trader]

hi i looked into 2 trades
could you do your analysis on it?

BBV and STD in us (long bbv short STD)

and AMTD short SWIM LONG

both highly correlated

Nice pairs you found there, yes they both look fine trade candidates to me, remember though its not trade by trade results, rather your collective results after a number of trades, if you keep taking trades like these you will show results.

PTF only fetches the latest data or data up until the last data saved into the program in each start, it shouldn't take too long to load, but thats subjective on how many pairs you have in the console, your computer RAM, processor, internet speed and how many other programs you have open, I usually open my program and let it update for 5mins before I do anything, since its crunching enormous amounts of data.

 

[Pairs Trader]

New trade

Long UGL @ 10.18
Short MND @ 11.75

 

[skc]

Hey PT, Long HVN Short DJS is showing up on my program as a signal.

To me it looks good, with the exception that DJS/HVN has been tradning up strongly so we are looking for a move against the trend. So I've entered the trade, although it is slightly against me at the moment.

I know you've trade this pair before. Have you made a concious decision not to trade the signal this time? If so, would like to hear your thinking.

 

[Pairs Trader]

Yes Ive been watching that pair over the last several sessions, was considering opening a position in it today, however I found myself pondering over it too long, and my rule is ''if in doubt, stay out'' and for several reasons im staying aside on this one, the % from the mean isn't near historical extremes, especially in the previous sessions when it first triggered, its getting closer to it today, not too far off, and I don't like the look of the ratio chart, breaking out to new highs and trending upwards, looks like blue sky ahead, the +/- is fine and spread chart is fine, however the ratio chart is what im primary concerned with and It doesn't tickle my fancy, although all that being said it may snap back to the mean tomorrow or soon enough, nothing wrong with trading it, the system is still extremely profitable without applying filters, I just try to improve on the system by filtering the signals, although plenty of guys will take all signals regardless and that's fine.

p.s. did you see my short position in MND I put on today? closed down 5.57% from my entry price! trade moved in my favor straight away, should be good to take off the table tomorrow for very nice profits.

 

[megadave]

THanks Pairstrader!

Could you name your favourite index pairs please.

s&p and qqqq, do you ever trade this?

thanks