skc
Goldmember
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- 12 August 2008
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Agree. I havent found as much time as I would like to generate a good pairs list. I'm mindful that idle capital in my CFD a/c is making zero return so use the banks trades which seem to occur frequently just to tick over the return. I try and close my banks trades out within 3 days and target an annualised ROC (I know you dont like ROC!) of +300% for the trade, which in nominal terms is usually less than 10% on the trade.
bochman, I note your analysis periods of 1 yr and 60 days. FYI I use 2-3 weeks for the SMA and SD calcs.
Are you looking to trade frequently or looking for longer term mean reversion investing with options or similar?
SKC. Noted. But in the absence of any better way to measure the profitability of an individual trade I use ROC, and the annualised ROC while crude and meaningless just helps introduce the time value. Do you have an alternative suggestion? I'm happy to change my ways.
I use IRR for the account growth over time which I believe is appropriate as it used balances net of fees etc and funds deposited/withdrawn.
I think PT mentioned that he uses 45 days or 60 days, hence I am using 60 days as a guide. 1 year is looking at the long term trend, in general, I found that if both 1 year and 60 days both indicates stddev of ~2, they have a higher chance of success.
Bochman - no, no right or wrong, just different style.
CLOSED WBC / CBA
long WBC at 25.01 / 25.25 = +0.96%
short CBA at 50.38 / 50.16 = -0.44%
=> net move = +1.4% profit
=> with CFDs, after fees ROC = 9.9% in 2 days (opened yesterday)
long NAB at 29.37
short CBA at 50.16
long QAN at 2.82
short VBA at 0.455
not too sure about this one, first time this pair
SKC - any thoughts?
told u I closed out FXJ & APN pairs too early....
ah........
I seriously think VBA & QAN will work now, but it will be volatile.
mmm, i'm not doing very well at this pairs trading lark... i've only just started so hopefully just a bad luck start, but out of 5 trades, i've 2 wins and 3 losses. Oddly the 2 worst losses are the ones I thought were good setups. I suspect I need to look at the charts in more detail, as it seems when a pair goes out of sync but caused by one of them breakingout, it can mean that stock keeps going out of sync as other traders are possibly buying into it as a breakout, it doesn't mean the paired stock is going to follow suit...
For instance i'm currently holding onto a trade in MGGT.L/RR.L, 96% correlation, and rising, but it really got out of sync with a breakout of MGGT.L on 6 Oct, and has carried on marching upwards, with RR.L going downwards! Maybe it will snap back together (I hope!), or can you see any fundamental reason why the rating of MGGT.L to RR.L has changed?
Thanks
I have no idea about these stocks as I don't trade outside the Australian market. I assume you've checked that there were no news when you opened the trade?
How long have you had the trade open?
Frankly 2 wins 3 losses in the first 5 means very very little.
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