ASX Stock Pairs Trade Journal

[magin]

Magin, yes, I have found the best trades usually last a few days. Although, with those settings you have, some pairs may take longer to breach exit.

Entered a position in MND/UGL

By the way, do any of you trade FX? I know Jared does, but I am not fully sold on those trading robots.

Thanks.
Can you tell me please, some configuration to test and verified it fill me?
I dont trade FX at the moment.

Thanks. Magin

 

[skc]

Thanks for your response.
US market I trading.

I have all set to 100 days, layer to 2.7 stddev and exit at 1.
I like to trade pairs not long time, ten days(or less) it will be excellent to me.

Any recommendation will be fine.

Good trades!
Magín.

The answer by yourself you must find, is the only recommendation

Sorry if I sound like Yoda but you must understand what the program is doing, decide what you want to do and set the parameters for it to do it.

Traders

I have been a few trading pairs for about 12 months using my own methods and programs. While I am happy with my progress I am looking to expand into other suitable pairs to trade. Need to be ASX 200 type stocks, strong dividend yields in similar sectors. One example I use is CBA/WBC. Can you suggest some others for me.

Why do you need strong dividend yield?

Banks: CBA, ANZ, WBC, ANZ, BEN, BOQ
Financials: MQG, PPT, PTM, IFL, AMP, QBE, IAG
REITs: WDC, SGP, MGR, LLC
Miners: BHP, RIO, OZL

 

[magin]

The answer by yourself you must find, is the only recommendation

Sorry if I sound like Yoda but you must understand what the program is doing, decide what you want to do and set the parameters for it to do it.

Thanks Skc. By the time I understand the software and parameters individually, but i need to understand what the parameters do together and what happen if i modify one of them.

Sadistically ratio return to the mean, but the problem are the parameters set to determine how long it take. And if is true in short time.

I will try to test others parameters to verify it.
If you can recommend something to read, i will appreciate it.

Thanks.
Magin.

 

[SilverRanger]

Thanks Skc. By the time I understand the software and parameters individually, but i need to understand what the parameters do together and what happen if i modify one of them.

Sadistically ratio return to the mean, but the problem are the parameters set to determine how long it take. And if is true in short time.

I will try to test others parameters to verify it.
If you can recommend something to read, i will appreciate it.

Thanks.
Magin.

Read up about bollinger band, particular the settings on SD and MA period.

 

[EasyTrader]

The answer by yourself you must find, is the only recommendation

Sorry if I sound like Yoda but you must understand what the program is doing, decide what you want to do and set the parameters for it to do it.



Why do you need strong dividend yield?

Banks: CBA, ANZ, WBC, ANZ, BEN, BOQ
Financials: MQG, PPT, PTM, IFL, AMP, QBE, IAG
REITs: WDC, SGP, MGR, LLC
Miners: BHP, RIO, OZL

Strong dividend yield and the franking credits they carry can cause strong buy/sell conditions for certain stocks. The trick is obviously determining if the stock is over bought or over sold. With the stocks suggested are you able to arrange them from your experiance into what might be likely pairs.

 

[magin]

Hi boys,

As the month has finished I close my numbers.

Software: PTF
Market: US
Portfolio: $100.000
MaxPerTrade: $10.000 plus margin.
Number Max of trade: 10

June (1st month testing PTF)
Open: 7 pairs (5 concurrent)
Closed: 2 pairs
Earning: 1% over the portfolio.


July (2do month testing PTF)
Open: 8 pairs (9 concurrent)
Closed: 5 pairs
Earning: 4% over the portfolio.

Base in your experience, i would like to know if earning from July are good and can be replicated month by month. Or this earning are very low based on your results?
For me is a good result but i have not other data to compare.

Thank very much for your time.
Magín.

 

[fingl]

Hi boys,

As the month has finished I close my numbers.

Software: PTF
Market: US
Portfolio: $100.000
MaxPerTrade: $10.000 plus margin.
Number Max of trade: 10

June (1st month testing PTF)
Open: 7 pairs (5 concurrent)
Closed: 2 pairs
Earning: 1% over the portfolio.


July (2do month testing PTF)
Open: 8 pairs (9 concurrent)
Closed: 5 pairs
Earning: 4% over the portfolio.

Base in your experience, i would like to know if earning from July are good and can be replicated month by month. Or this earning are very low based on your results?
For me is a good result but i have not other data to compare.

Thank very much for your time.
Magín.

Magin, do you use correlation or cointegration above some level for ptf entry or purely ptf entry?

 

[magin]

Magin, do you use correlation or cointegration above some level for ptf entry or purely ptf entry?

I use both but Correlation and Co-integration never below 60%.
As i am testing the parameters, they can change in future.

Magín.

 

[fingl]

I use both but Correlation and Co-integration never below 60%.
As i am testing the parameters, they can change in future.

Magín.

ptf do not have correlation or cointegration integrated on the backtesting entries do they? Anyone has done sufficient samples using correlation and cointegration above some level for entries and without?

 

[SilverRanger]

Closed my experimental DJS/MYR for a slight profit. 4 open pairs remain with 2 in profit and 2 in loss.

 

[keroppi]

Closed MND/UGL for a small profit for 2/2.

Entered CPU/IRE.

Magin, the results so far look ok. In pairs trading, it can be difficult to consistently replicate good results.

 

[SilverRanger]

Closed MND/UGL for a small profit for 2/2.

Entered CPU/IRE.

Magin, the results so far look ok. In pairs trading, it can be difficult to consistently replicate good results.

Closed WDC/GMG at market close. Earlier in the day opened long MND/DOW (always keen to short DOW )

Got a long leg of CQO opened yesterday, and it went into trading halt, a sale near book value (I hope) should be good for CQO as it is trading .8x NTA.

 

[skc]

Closed MND/UGL for a small profit for 2/2.

Entered CPU/IRE.

Magin, the results so far look ok. In pairs trading, it can be difficult to consistently replicate good results.

Close the same trade. But passed on CPU/IRE. CPU reports next Wednesday so didn't want to chance it. It will probably bounce a couple of % tomorrow however.

Closed WDC/GMG at market close. Earlier in the day opened long MND/DOW (always keen to short DOW )

Got a long leg of CQO opened yesterday, and it went into trading halt, a sale near book value (I hope) should be good for CQO as it is trading .8x NTA.

Missed the DOW short (which would have been great). Missed also the CQO trade. They their US portfolio at 2% premium to book so a $1.08 capital return is coming. It will spike up tomorrow lucky you.

Closed my MYR/BBG for a good gain.
Day traded WTF/CRZ for 6% but the position was only small.
Opened MGR/LLC and BOQ/BEN. Both in small profits...

 

[SilverRanger]

Close the same trade. But passed on CPU/IRE. CPU reports next Wednesday so didn't want to chance it. It will probably bounce a couple of % tomorrow however.



Missed the DOW short (which would have been great). Missed also the CQO trade. They their US portfolio at 2% premium to book so a $1.08 capital return is coming. It will spike up tomorrow lucky you.

Closed my MYR/BBG for a good gain.
Day traded WTF/CRZ for 6% but the position was only small.
Opened MGR/LLC and BOQ/BEN. Both in small profits...

It's a bit beyond my grasp to see a sudden evaporation of buyers in CQO this morning, are people not happy with the sale price or the strength of AUD since last valuation?

MND/DOW is doing well, which more than offets my CQO loss, so still an overall happy day.

 

[skc]

It's a bit beyond my grasp to see a sudden evaporation of buyers in CQO this morning, are people not happy with the sale price or the strength of AUD since last valuation?

MND/DOW is doing well, which more than offets my CQO loss, so still an overall happy day.

I watched CQO closely today. I think what happened was that some insto holders (e.g. hedge funds) who were holding the stock trying to change the management has decided to exit their positions. The buyers simply retreated and let them unload...

I closed my BOQ/BEN this morning as it reached half my target in just 1 day. BOQ plunged in the afternoon so I ended up opening the same trade again by 3:30pm.

There's panic in the market now and I am staying up to watch the carnage in the US. My put options are gaining 50 to 120%... this is definitely 2008 again (or was that 1929). Certainly crazy times and being a pairs trader is way way better than an investor in such market condition.

 

[keroppi]

Exited IRE/CPU for another win. 3/3.

Entered WDC/SGP

I was absolutely hammered for my long CFD positions in the ASX. Didn't anticipate the drop last night in the US and now I have got out but the damage has been done.

 

[SilverRanger]

Exited IRE/CPU for another win. 3/3.

Entered WDC/SGP

I was absolutely hammered for my long CFD positions in the ASX. Didn't anticipate the drop last night in the US and now I have got out but the damage has been done.

Saw the WDC/SGP setup but chose to ignore it - SGP earning is due next Wednesday, and WDC is expected to announce US mall sale any time from now

Closed MND/DOW for good profit, and opened long SWM/FXJ. Plenty of other opportunities in volatile market liket this

 

[skc]

Glorious day to be a pairs trader :

Closed UGL/BLY
Closed BOQ/BEN
Closed APN/TEN
Closed AIO/QRN (a surprise profit)
Day traded and closed GMG/DXS (someone forgot to sell DXS this morning)
Layered AMP/IAG
Opened CQO/CQR

My broker should be a happy man today.

 

[Pairs Trader]

Glorious day to be a pairs trader :

Got that right! Love these days, mispricings galore

 

[fingl]

There is little discussion about layering. Most of the opinions about layering are layering would have more downdraw and require unlimited fund to generate profit.