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ASX Stock Pairs Trade Journal

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skc said:
With trending pairs, I wait for better entries when they are countertrend, and probably immediate entry with the trend.
Click to expand...

Moving ave for trend is not really an effective indicator. The number is winner for taking trend signal is lower to taking countertrend signal with ratio above moving ave. Should discretionary analysis interfere with following system signal? The ratio is trending and want the ratio to be more diverge and more resistances to take countertrend signal but the system has a countertrend signal. Would you take the countertrend signal? Discretionary analysis is not really effective unless the trader really gifted and the analysis really realize on the ratio movement
 
Gringotts Bank said:
What sort of % annual return is possible with pairs trading?

Would 30%pa be about right? 15%??
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The range of possibility is -100% to +1000%. The real answer depends on your skill, risk appetite, position size, leverage and of course market condition.

The base level expectancy: %win x avg $win - %loss x $avg loss is dependent mostly on skill and market conditions.

The actual average P/L in % of account depends on your position size.

Your position size depends on the leverage available and your risk appetite.

The total annual $P/L depends on the number of trades you take, which are in turn dependant on market conditions, the number of pairs you monitor, your skill and the leverage available (which caps the maximum number of pairs you can hold at the one time).
 

Are you more towards 1000% or -100% side of the scale?!

Pairs trader listed his very high %win rate but I'd prefer a %annual return on total capital employed. Makes more sense to me. Anyone know what he makes?
 
Gringotts Bank said:
Are you more towards 1000% or -100% side of the scale?!

Pairs trader listed his very high %win rate but I'd prefer a %annual return on total capital employed. Makes more sense to me. Anyone know what he makes?
Click to expand...

I aim for ~40-60% return each year... so definitely closer to -100% than +1000%.

But I don't push my account very hard at all. My position size averages <10% of my account size and I only ever reached ~70% margin.

So I could crank up the position size by another 20-30% and increase the returns to 50-70% p.a., with corresponding increase in risk.
 
Anyone looking at the PairTrade Finder software, the guy who owns it is useless. Doesn't answer emails (5 days - no response). The other thing is, his PairTrades alert signals were posted a day late on his website, making them useless. Waste of time.

Any other software of service recommendations?
 

You mean as a subscriber to the signal? Or just free stuff he shows on his website?

BTW you can always write your own spreadsheet to do the calculations involved...
 
As a subscriber. On the site it says he puts them out at approx. 7am Aus time, but that wasn't the case for the most recent ones. It was a day late.

Actually, skc, can you tell me how these pairs are going?

12/6/2011 Sell / Buy CADJPY.FXCM 76.834 GBPJPY.FXCM 121.12[FOREX]
12/6/2011 Sell / Buy EWC 27.35 EWT 12.1 [ETF]
 

I thought his signal used to be real time on twitter...

BTW I don't use his signals and I only pair trade Australian equities.
 
I don't do Twitter. Was using the dedicated subscriber website.

The worst thing is the no reply once he's taken my subs. Maybe he's not well. I'll give him the benefit of the doubt and wait another week for a response.
 
Gringotts Bank said:
I don't do Twitter. Was using the dedicated subscriber website.

The worst thing is the no reply once he's taken my subs. Maybe he's not well. I'll give him the benefit of the doubt and wait another week for a response.
Click to expand...

Sorry... you don't do Twitter or he doesn't offer his signals on Twitter anymore?

He's normally pretty good with his emails but it's been a while since I had to contact him. May be even send him a PM on this site.
 
I just checked Twitter. He still has an account - not sure if it's active but I don't do Twitter.

Reason I subscribed was because I expected to have access to some pretty good pair trade signals, since he is the guy who created this software and also, he looks across a huge variety of markets worldwide. I'd like to get it up and running.
 

Pair trading CADJPY/GBPJPY = Net long/short in GBPCAD, hope those doing it know that it is not hedged...
 
I hadn't noticed that. I would have thought if the same currency appears in both the buy and sell side it would either cancel the signal or just say "place one trade long/short".
 
SilverRanger said:
Pair trading CADJPY/GBPJPY = Net long/short in GBPCAD, hope those doing it know that it is not hedged...
Click to expand...

I know... trading FX with same denominator is no different to buying/selling bollinger bands of the numerator pair.

A bit silly really.
 
skc said:
I know... trading FX with same denominator is no different to buying/selling bollinger bands of the numerator pair.

A bit silly really.
Click to expand...

There are probably more efficient ways to trade, but it isn't identical to "b/s the bollingers of the numerator pair". The timescales are completely different to stocks, but there are exploitable inefficiencies (of course with the caveat you trade on a liquid ECN with tight spreads and not with CFDs).

As always, avoiding correlated instruments and ensuring cointegration of the basket are the real keys.

Here is an interesting place to start

http://www.forexfactory.com/showthread.php?t=265350
 
When WBC share price fall below ANZ I like to buy WBC and short ANZ!!
It's good fun and has never failed me!
 
The OP who calls himself pairs trader (the one who spruiks the software) has been lurking around my ASF profile page, yet won't answer questions.

Very dodgy character. AVOID.
 
Gringotts Bank said:
The OP who calls himself pairs trader (the one who spruiks the software) has been lurking around my ASF profile page, yet won't answer questions.

Very dodgy character. AVOID.
Click to expand...

GB,

The person lurking on your profile page IS NOT the OP of this thread.

OP is Pairs Trader. His real name is Jarad and yes he sells this software.

The lurker is pairstrader (no cap, no space). He started another thread and was promptly banned by Joe.
https://www.aussiestockforums.com/forums/showthread.php?t=23825&pagenumber=

Rather confusing as they have similar nics... but they are NOT the same person.
 
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