ASX Stock Pairs Trade Journal

[Pairs Trader]

Just exited the UGL/MND trade for good profits on both sides

Sold UGL @ 7.55 (Long 7.31)

Covered MND @ 6.60 (Short 7.22)

 

[beerwm]

Why would if have to surge overnight?

you said you only get out of a trade when the stocks return to a mean...
...what if they dont>?

anyway... whats a large cap classified as?

 

[Pairs Trader]

Why would if have to surge overnight?

you said you only get out of a trade when the stocks return to a mean...
...what if they dont>?

anyway... whats a large cap classified as?

Not sure what you mean when you say ''why would it have to surge overnight?''

As ive said before we don't use a static mean, we use a rolling mean which means it will always come back eventually, could you please post some examples of stocks surging 100x as you previously suggested this happens quite often. Large cap is a ASX200 stock.

 

[MRC & Co]

As ive said before we don't use a static mean, we use a rolling mean

Out of interest Pairs, who is 'we'?

The rolling mean is of a 100 day period yeh?

Good work on the closed trade, too easy!

 

[Pairs Trader]

Out of interest Pairs, who is 'we'?

The rolling mean is of a 100 day period yeh?

Good work on the closed trade, too easy!

Just referring to myself and bunch of other pair traders I know.

I have the rolling mean set to 14days in the program.

Thanks, yeah 1st trade of the journal went well.

 

[MRC & Co]

Just referring to myself and bunch of other pair traders I know.

I have the rolling mean set to 14days in the program.

Thanks, yeah 1st trade of the journal went well.

Thx for answering all the Qs.

Good luck with the rest of the trades, I will keep track with interest.

 

[Largesse]

Just exited the UGL/MND trade for good profits on both sides

Sold UGL @ 7.55 (Long 7.31)

Covered MND @ 6.60 (Short 7.22)

what was your exit signal?

 

[Pairs Trader]

The program gave me the exit signal which means the pair returned to its mean.

 

[nizar]

Pairs.

What do you do when you enter a pair but then a few days after entry they start diverging and actually don't converge back due to fundamental reasons (eg. one reported profit, the other a huge loss). Would you exit this pair on a discretionary basis because there's a good reason?

Or does your system have rules to prevent this from becoming too damaging?

Eg. a time-based stop (exit after X days if the pair does not revert to the mean) or a maximum stop loss (at like 4sd) ?

I'd be keen to hear your thoughts.

 

[MRC & Co]

I think he answered that already Nizar, he waits until it converges back to it's mean (rolling, not static).

 

[Pairs Trader]

Just entered a new pair trade

Long DJS @ 2.05
Short HVN @ 2.04

Will add more if it goes against me, this is one of my favourite pairs, good correlation at 90%, oscillates around its mean regularly and consistently. I had a great trade on this pair 2 weeks ago as you can see.

 

[Pairs Trader]

Opened new trade

Long LGL @ 2.85
Short SGX @ 5.03

This pair has high correlation at 94% and has had some awesome trades over the last few weeks.

 

[Pairs Trader]

Just entered another trade

Long QAN @ 1.51
Short MAP @ 1.66

Both have moved strongly to the upside today.

 

[wabbit]

PT,

Are you trading every signal your system shows? If not, how are you deciding which trading signals to take and which ones to ignore? How much "discretion" is there in this system?


wabbit

 

[Pairs Trader]

PT,

Are you trading every signal your system shows? If not, how are you deciding which trading signals to take and which ones to ignore? How much "discretion" is there in this system?
wabbit

Almost every signal, I just make sure correlation is above 70%, not in a strong downtrend and the ratio chart shouldn't be in a strong trend either.

 

[wabbit]

Thanks.

 

[nizar]

Pairs, do you trade these pairs intraday or end of day?
What is your average holding time for a trade?

 

[Pairs Trader]

I find swing trading them the best method, intra day trading is a very slim margin game. Average holding time is 4-7days.

 

[Pairs Trader]

Just exited 2nd trade of the journal for nice profits;

Sold QAN @ 1.72
Covered MAP @ 1.69

 

[MRC & Co]

Cheers for the update Pairs.