ASX Stock Pairs Trade Journal

[skc]

Haven't had any active pairs for almost a week, kinda feel bad missing out last Thursday on both NWS/NWSLV at market close, and WAN/FXJ because the greedy me couldn't get a fill
Both could have been closed today with some modest profits...

How's everyone else doing?

Does anyone know tricks to get a list of indicative prices of stocks at market open and close auction?

August is quiet thanks to the profit season. Really have to tip toe around it as market is not at all kind to any sort of weakness in results.

Best trade this month so far was long FLT / short QAN. Just over 4% for holding over the weekend.

I had a few misses with FXJ - and I found that it has become very hard to trade. It bounces around a lot with fair bit of depth either side, so you really need to wait in line, have a position open before you can work the other leg. You would have heard that FXJ is the most shorted stock because hedge funds are arbitraging against its hybrid securities. Because of this overhang / stock of short positions, possibly big movement either way when FXJ results come out in a couple of weeks.

You don't have a list for the indicative auction price? How do you trade into the open / close? Who do you use as broker / CFD provider? I use MFGlobal mostly and the webIress platform can show a column called Match Price, including the surplus bid / ask volume. Very very important to my day to day trading. IG markets also show the match price, but not in a list and you have to open each ticket separately which makes it a lot less useful.

 

[Pairs Trader]

Hi Pairs,
What signal settings did you use to get these results?

Ed.

I used the default settings in our latest version 2.97 which is available for download at www.pairtradefinder.com/freeTrial.php

We have adjusted settings for current market conditions.

 

[SilverRanger]

August is quiet thanks to the profit season. Really have to tip toe around it as market is not at all kind to any sort of weakness in results.

Best trade this month so far was long FLT / short QAN. Just over 4% for holding over the weekend.

I had a few misses with FXJ - and I found that it has become very hard to trade. It bounces around a lot with fair bit of depth either side, so you really need to wait in line, have a position open before you can work the other leg. You would have heard that FXJ is the most shorted stock because hedge funds are arbitraging against its hybrid securities. Because of this overhang / stock of short positions, possibly big movement either way when FXJ results come out in a couple of weeks.

You don't have a list for the indicative auction price? How do you trade into the open / close? Who do you use as broker / CFD provider? I use MFGlobal mostly and the webIress platform can show a column called Match Price, including the surplus bid / ask volume. Very very important to my day to day trading. IG markets also show the match price, but not in a list and you have to open each ticket separately which makes it a lot less useful.

Essentially I was trying to get a fill to short FXJ for the whole day last Thursday, but it just kept on going south, and then WAN rebounded a little, so I've missed the boat But compare that to a lot of the AREITs pairs, where you have both legs with sub $1 prices, things could have gone a lot more nasty

I've always liked to see the open/close matching prices in a list, and preferably export them to a spreadsheet, does Iress/webIress offer export feature?
Currently I have to go through this manually, yes it is really annoying and yes it does mean misses like NWS/NWSLV last week, but I get what I paid for

P.S I use IG (mainly this one) and GFT (if I don't mind to buy at offer or sell at ask) as my CFD provider. I've looked at MFGlobal a while ago, but find the commission system unfriendly to non-professional traders like myself

 

[SilverRanger]

I used the default settings in our latest version 2.97 which is available for download at www.pairtradefinder.com/freeTrial.php

We have adjusted settings for current market conditions.

Nice to see a new upgrade Pair

 

[SilverRanger]

Nice to see a new upgrade Pair

Seems like there's some issue with the Save Pair button in the Backtester, it's adding all the pairs!!

 

[skc]

Essentially I was trying to get a fill to short FXJ for the whole day last Thursday, but it just kept on going south, and then WAN rebounded a little, so I've missed the boat But compare that to a lot of the AREITs pairs, where you have both legs with sub $1 prices, things could have gone a lot more nasty

I've always liked to see the open/close matching prices in a list, and preferably export them to a spreadsheet, does Iress/webIress offer export feature?
Currently I have to go through this manually, yes it is really annoying and yes it does mean misses like NWS/NWSLV last week, but I get what I paid for

P.S I use IG (mainly this one) and GFT (if I don't mind to buy at offer or sell at ask) as my CFD provider. I've looked at MFGlobal a while ago, but find the commission system unfriendly to non-professional traders like myself

MFGlobal is actually very very good with a couple of little known features for their platinum accout (>$100K).

- Data and platform are free
- They pay you interest on your Gross Liquidation Value, not just on free equity
- Commission is 0.08% and charged at end of day. What that means is if I trade same stock, same direction multiple times, I get charged on the aggregate volume rather than the minimum $8 for each trade. So say I bought 1000 shares at $5 in the morning and 2000 more at $5.1 in the afternoon, my brokerage is 0.08% * (1000 x $5 + 2000 x $5.1) = $12.16.

They do have some negatives like generally higher margin requirements and lack of short availability in some stocks (like MYR or MND from recent memory). So I keep my IG account as a supplement.

 

[Pairs Trader]

Seems like there's some issue with the Save Pair button in the Backtester, it's adding all the pairs!!

I'm not having a go at you, but to everyone else too, please email us regarding software issues, don't post them here, i want to keep this journal strictly for posting and discussing pair trades. Please email me and I will help you resolve this issue. thank you.

 

[SilverRanger]

I'm not having a go at you, but to everyone else too, please email us regarding software issues, don't post them here, i want to keep this journal strictly for posting and discussing pair trades. Please email me and I will help you resolve this issue. thank you.

I can certainly do that given it's your thread (and I love to follow it) and you want to keep the thread "clean", no offense taken
I'm not sure where I should write the email to so please check your PM

 

[Pairs Trader]

Hi Pairs,
It would be great if you started posting trades again as I only started pair trading after you finished posting trades and missed out on the "real time" learning experience.

Ed.

When Ive got time I'll do my best to post ASX pair trades here in real time. I mostly stick to a well defined trading system using our software with room for discretionary decisions based on market news, market chatter and gut feel. I listen to what the charts are saying and rely on back testing to give me the conviction to pull the trigger.

 

[keroppi]

skc, you wrote in February 2010 that you analysed your actual exits compared to exiting the folowing day. You also mentioned that you were looking to improve your exits.

Have you done any further analysis on exiting? What is your prefered exit strategy now?

 

[samgribbles]

long BHP at 38.82, short RIO at 73.26 late last week

anyone else take this trade on the back of the BHP hammering following the Potash T/O bid? If not would be interested as to reasons why not.

 

[SilverRanger]

long BHP at 38.82, short RIO at 73.26 late last week

anyone else take this trade on the back of the BHP hammering following the Potash T/O bid? If not would be interested as to reasons why not.

Well, this one is obviously news induced, so I'm out.
Potash Corp is currently sitting at almost $150, well above the $130 offer, seems like BHP will need to do more to seal the deal

 

[Pairs Trader]

long BHP at 38.82, short RIO at 73.26 late last week

anyone else take this trade on the back of the BHP hammering following the Potash T/O bid? If not would be interested as to reasons why not.

Was tempting, however I agree with a lot of the market opinion that this isn't the best of deals, not really in line with their other businesses, plus its one hell of a price tag and they will probably have to increase it, many hedge funds would have sold short BHP against a long potash position.

 

[Barndat]

I've always liked to see the open/close matching prices in a list, and preferably export them to a spreadsheet, does Iress/webIress offer export feature?

Yes, I use MFG WebDataServices add-in for excel and have streaming live prices including match prices so I can watch multiple stocks. You can then setup alarms levels etc.

 

[skc]

long BHP at 38.82, short RIO at 73.26 late last week

anyone else take this trade on the back of the BHP hammering following the Potash T/O bid? If not would be interested as to reasons why not.

I took the trade at BHP 38.78 RIO 72.94.

There are a couple of reasons that I took the trade.

1. BHP announced the potash deal before their results (sometime today), which indicates to me that the result is likely to be ahead of expectations (i.e. they have cash burning in their pockets).

2. Short RIO long BHP tend to work well in a falling, jittery market which we have now.

Showing a small profit now but nothing to write home about. I love to hear RIO announce they are out bidding BHP for Potash Corp.... that would be some trade.

Dreaming aside - will probably square them on the open tomorrow morning.

 

[Pairs Trader]

New trade

Long AMP @ 4.87
Short PPT @ 30.60

Looking for quick scalp, like the ratio chart plus all other readings at extremes. Will try to exit before PPT goes ex-div on the 1st Sep.

 

[waltbx]

New trade

Long AMP @ 4.87
Short PPT @ 30.60

Looking for quick scalp, like the ratio chart plus all other readings at extremes. Will try to exit before PPT goes ex-div on the 1st Sep.

I'm confused (not the first time!)

My charts show AMP at $42 and PPT at $6.72. And my chart from PTFinder differs greatly from yours. I'm feeling like I'm in a parallel universe, but not parallel at all.

And from the previous post, my BHP is $64.79, not 38.78 and RIO is "not a valid symbol."

What's happening? Do I need a vacation?

Walt B

 

[skc]

I'm confused (not the first time!)

My charts show AMP at $42 and PPT at $6.72. And my chart from PTFinder differs greatly from yours. I'm feeling like I'm in a parallel universe, but not parallel at all.

And from the previous post, my BHP is $64.79, not 38.78 and RIO is "not a valid symbol."

What's happening? Do I need a vacation?

Walt B

Walt, perhaps the name of this forum might give you a hint. I have highlighted the operative word - AUSSIEstock forum.

OR may be you do need a vacation. So where the bloody hell are you?

I believe you can set the correct exchange in the stock add window.

 

[Pairs Trader]

I'm confused (not the first time!)

My charts show AMP at $42 and PPT at $6.72. And my chart from PTFinder differs greatly from yours. I'm feeling like I'm in a parallel universe, but not parallel at all.

And from the previous post, my BHP is $64.79, not 38.78 and RIO is "not a valid symbol."

What's happening? Do I need a vacation?

Walt B

Hi Walt, yes that's an honest mistake of yours, your looking at NYSE codes, in this journal I am posting my ASX(Australian stock exchange) trades, add a .AX at the end of the given codes in yahoo finance for quotes/charts on ASX stocks.

I highly recommend a vacation too, tis summer over there mate

 

[Pairs Trader]

New trade

Long NAB @ 22.84
Short ANZ @ 22.33

Ratio chart not the best but still at yearly highs, one of the biggest RSI divergences Ive seen, and back tester shows solid history.