ASX Stock Pairs Trade Journal

Pairs Trader · 15 June 2009

Closed trade for profits

Sold STO @ 15.03 (0.26% profit)
Covered OSH @ 5.83 (3.43% profit)

24 Wins
1 scratch
4 losses

Pairs Trader · 16 June 2009

New trade

Long PPT @ 28.79
Short AMP @ 5.15

Aurum · 17 June 2009

Well, I'm getting a little frustrated with pair trading. I asked a question a few posts back that has been ignored. I joined the pair trade forum 4 days ago and am still awaiting the confirmation email but have received 3 promotional emails in the same time. This is not a good start.

Aurum.

Pairs Trader · 17 June 2009

Aurum, I have sent you a private message.

Pairs Trader · 17 June 2009

Closed trade this afternoon for nice profits

Sold TSE @ 2.65 (0.75% loss)
Covered UGL @ 9.81 (9.85% profit)

Sir Burr · 17 June 2009

Aurum said:
3 promotional emails in the same time

Well, when there's only 30 Copies Left - once there gone, there gone!

:sheep:

rainylake · 18 June 2009

The 6/15 post shows PPT @ 28.79 and AMP @ 5.15. It looks to me like the prices are reversed. Shouldn't Amp be priced at 28.79 and visa versa? Or is my Dyslexia coming back.

skc · 18 June 2009

rainylake said:
The 6/15 post shows PPT @ 28.79 and AMP @ 5.15. It looks to me like the prices are reversed. Shouldn't Amp be priced at 28.79 and visa versa? Or is my Dyslexia coming back.

Make sure you are looking at the right exchange! PPT and AMP are aussie ASX stocks I'd imagine.

Or take ur medication

cooper1308 · 18 June 2009

Pairs Trader said:
New trade

Long PPT @ 28.79
Short AMP @ 5.15

Hi Pairs,

Nice trade thus far.

When I look at the ratio chart it seem very close to it's mean and no where near all time highs or lows. I know that isn't the only indicator you use but in the past I have been auto-disqualifying charts that look like that...can you explain what im doing wrong with this?

Also how are you tracking the volality of the pair with no vol chart?

Cheers

Pairs Trader · 18 June 2009

rainylake said:
The 6/15 post shows PPT @ 28.79 and AMP @ 5.15. It looks to me like the prices are reversed. Shouldn't Amp be priced at 28.79 and visa versa? Or is my Dyslexia coming back.

Yes your looking at the NYSE codes.

Pairs Trader · 18 June 2009

cooper1308 said:
Hi Pairs,

Nice trade thus far.

When I look at the ratio chart it seem very close to it's mean and no where near all time highs or lows. I know that isn't the only indicator you use but in the past I have been auto-disqualifying charts that look like that...can you explain what im doing wrong with this?

Also how are you tracking the volality of the pair with no vol chart?

Cheers

Yes I see what you mean, your viewing the charts correctly, however I like this pair, typically AMP has been a good stock to pair trade, hence the reason for taking the trade, don't concern yourself too much with this, the system is still highly profitable un-filtered. I look at volatility in the console, I don't analyze the volatility chart, just more of a reference.

cooper1308 · 19 June 2009

No worries.....

How can I do a quick estimation for profit....when looking at the ratio chart?

Assume i'm trading 10k per side

For example.. The mean is 1.8, and the ratio currently at 1.5.

If the mean were to revert instantly would I be in profit .3/1.8*20 000 ??

Pairs Trader said:
Yes I see what you mean, your viewing the charts correctly, however I like this pair, typically AMP has been a good stock to pair trade, hence the reason for taking the trade, don't concern yourself too much with this, the system is still highly profitable un-filtered. I look at volatility in the console, I don't analyze the volatility chart, just more of a reference.

cooper1308 · 19 June 2009

cooper1308 said:
No worries.....

How can I do a quick estimation for profit....when looking at the ratio chart?

Assume i'm trading 10k per side

For example.. The mean is 1.8, and the ratio currently at 1.5.

If the mean were to revert instantly would I be in profit .3/1.8*20 000 ??

Sorry it should read .3/1.5*20000

??

Pairs Trader · 22 June 2009

It would be 1.8 / 1.5 = 1.2 which is 20% gain in the ratio which would be a 10% gain on funds invested since we have both a long and short.

Closed trade for profits

Sold PPT @ 29.48 (2.39% profit)
Covered AMP @ 5.07 (1.57% profit)

cooper1308 · 23 June 2009

Cheers.... Our formula's are actually the same if I multiply by half my position instead of whole (10k instead of 20k)

Pairs Trader said:
It would be 1.8 / 1.5 = 1.2 which is 20% gain in the ratio which would be a 10% gain on funds invested since we have both a long and short.

Closed trade for profits

Sold PPT @ 29.48 (2.39% profit)
Covered AMP @ 5.07 (1.57% profit)

retroaugogo · 23 June 2009

Been following your trades with interest.

I generally follow the major trend with a basket of stocks but in a sideways market have found it difficult to make money.If I can get pairs trading to make money at these times it would be ideal.

Downloaded the software and have tried to join your forum but it's been days and my membership is still not confimed??

Pairs Trader · 23 June 2009

If your username is retro, Ive just confirmed it, apologies, we have been getting swamped with spam, so new members require admin approval.

Pairs Trader · 24 June 2009

New trade

Long GNS @ 0.875
Short ABC @ 2.26

keroppi · 24 June 2009

Have you ever done tests on stop losses? It seems that some trades end up with big losses so having a stop loss in place would limit that.

Also, when will PTF v3 be released? I am looking forward to doing some backtests on the exit criteria.

Pairs Trader · 29 June 2009

Yes using a 10 day time stop can improve performance and prevent large losses. PM me if you want the latest update, custom exits, improved backtesting, email/twitter alerts.

Just closed a very nice trade

Sold GNS @ 1.02 (11.65% profit)
Covered ABC @ 2.31 (2.21% loss)

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