ASX Stock Pairs Trade Journal

[skc]

Long SUN/Short IAG - IAG put on 8% in 3 days with SUN moving ~2.5%. Profit target ~4%.

Trade closed. Sold SUN @ $7.95. Covered IAG @ $3.42. Profit = 2.8%. Over half of the work done in a day is usually my take profit. Depending on the market IAG probably has more to fall FWIW.

 

[skc]

Trade #16 opened. Long PTM @ $3.88. Short IFL @ $5.98. Size = 12.5%.

Closed. Sold PTM @ $3.82. Covered IFL @ $5.755. Profit = 2.22%.

This one probably a little more legs in it, but I actually layered down after the initial trade so it has reached my target in my own holding. I thought I'd just close it here as well as I won't be following it closely anymore.

 

[skc]

Trade #23. Long WOR @ $24.32. Short MND @ $21.66. Size 12.5%.

 

[skc]

Trade #24. Long AIO @ $4.19. Short QRN @ $3.44. Size = 10% of account.

Trade #25. Long CQR @ $3.25. Short CFX @ $1.95. Size 5% (trying to build another 5-10%).

 

[skc]

EOD.



I don't have enough time to post on the 4 new trades today, but they are all stocks that I've already traded in this journal. Big intraday reversal on several REITs today suggests to me that an immediate high has been had for the sector. WRT and GMG in particular have found new yearly high and reversed sharply. Shame that I couldn't build a larger position with CQR/CFX when CFX had it's early morning run.

P&L is slightly improved despite the $ spent on commission entering 4 trades today. In this table the closing commission are recorded and booked against P&L at the time of the trade opening.

 

[skc]

Trade #24. Long AIO @ $4.19. Short QRN @ $3.44. Size = 10% of account.

Trade Closed. Sold AIO @ $4.25. Covered QRN @ $3.38. P&L = 3.2%.

Met my quick take profit rule. AIO hasn't the strongest chart and I actually semi regreted taking this trade yesterday. So happy to get it dusted.

 

[skc]

Trade #23. Long WOR @ $24.32. Short MND @ $21.66. Size 12.5%.

Trade closed. Sold WOR @ $24.93. Covered MND @ $21.633. P&L = 2.6%.

I left a sell order in there for WOR at a price that I didn't think was far enough away... then of course the lunch time spike took that order out so I had to scramble to cover my MND. A profitable but wasted trade.

And can I have my AIO back at $4.25? It's only 4% higher

 

[skc]

Trade #25. Long CQR @ $3.25. Short CFX @ $1.95. Size 5% (trying to build another 5-10%).

Added another 5%. Long CQR @ $3.28. Short CFX @ $1.955.

Trade #26 opened. Long TEL @ $1.8575. Short SGT @ $2.545. Size = 10%.

 

[skc]

Long GWA/Short ABC - Not the perfect match in terms of activities but has performed well in the past as a pairs trade. GWA is a housing products supplier while ABC is in cement, concrete and masonry which have wider applications. The housing market is down and new builts are falling and that is reflected in GWA's share price. GWA provided a trading update in early April forecasting a profit fall, but maintaining a dividend at ~9% which should provide some support for the share price. The takeover of ALS (basically in the same game as GWA) has generated some interest in GWA as well.

On the GWA chart, recent lows need to hold to mount a challenge towards $2.1. The ABC chart is looking strong but resistance ahead at $3.20. This will be a cautious position and breach of these levels will see the trade closed pretty quickly. Profit target ~4-5%.

Trade closed. Sold GWA @ $2.075, covered ABC @ $3.195. Profit = 1.3%.

Another one of those accidents. ABC looked weak and illiquid in the morning so I put GWA at what I thought was a decent distance away. I am not unhappy about this one, however, as the BLD trading update yesterday scared me that GWA might follow suit.

 

[skc]

New trade #27 opened. Long PTM @ $3.855. Short IFL @ $6.025. Size = 12.5%.

Basically the re-openning of trade #16 but with better entry.

 

[skc]

EOW. 21 trades closed. 6 trades open. 22 wins and 5 losses. Account up 5.6% (+2% in the past week).



On a day like today where the market reversed 80 points on news, pairs trading will more often than not make good money. Those stocks that have been weak tend to bounce more than those stocks that had been strong. AIO and WOR were good examples. With a bit of day-trading skill (which I lack), one can recognise a running day, close the short first and put a trail on the long so pick up a couple more percent. And if your short leg runs up first, you can simply wait for the long leg to catch up.

I was a bit distracted today with a large trade under a different strategy so I made the mistake of cutting serveral profits short. But it was worth it

BTW from trade #28 onwards, position size will be based on a capital of $105k (since the profit has now reached >$5k). This allows the return to be compounded at 5% intervals. The compounding will be wind back if the account equity falls back to the last level.

Today's trade

Long TEL / Short SGT. Long NZ and short Singapore. TEL seems to have Telstra-like status in NZ and has gone up strongly despite the weak market. SGT has been a bit more up and down. SGT is going ex-div (9c) on 1 Aug so I won't hold this trade for much past early July. Both shares have primary listing overseas so the market depth on the ASX is pretty much meaningless - there are market makers / arbitrager (or whatever they are) who make both stock tick along with thier corresponding main board. Profit target 4%+.

 

[Sutekh]

Thanks for updating your journal skc.

You mention pairs trading on highly volatile days like today, so I was wondering if you are using real time data or relying on the delayed data?

Do you find there is much slippage between when a pair trade opportunity arrives, because it is 20min late? (or more, depending on the length of your pairs list) Especially around the market open or market-turning news, such as today?

Anyway, approximately a 6% return on your capital for June; very impressive!

 

[skc]

Thanks for updating your journal skc.

You mention pairs trading on highly volatile days like today, so I was wondering if you are using real time data or relying on the delayed data?

Do you find there is much slippage between when a pair trade opportunity arrives, because it is 20min late? (or more, depending on the length of your pairs list) Especially around the market open or market-turning news, such as today?

Anyway, approximately a 6% return on your capital for June; very impressive!

Hi Sutekh,

I eat my lunch in front of my 3 computer screens most days. I hope this answered your question

BTW I don't know any CFD provider who let you trade with delayed data?!

 

[Sutekh]

I eat my lunch in front of my 3 computer screens most days.

Haha fair call

CFD providers - I haven't really started looking at them yet, still paper pair trading!

 

[Sutekh]

Ah, my brain was so slow when I asked about data, I meant to clarify about the data feed you were using in PTF; was it the delayed data or the IQ Feed (I'm guessing it's IQ Feed?)

 

[skc]

Ah, my brain was so slow when I asked about data, I meant to clarify about the data feed you were using in PTF; was it the delayed data or the IQ Feed (I'm guessing it's IQ Feed?)

I see. The data feed for ASX is delayed on the PTF. There is no IQ feed for the the software on ASX prices.

I get around that by doing preparation work. Look at the pairs that are close to entry/exit levels and I monitor those in real time with a Webiress feed into a spreadsheet.

 

[skc]

New trade #27 opened. Long PTM @ $3.855. Short IFL @ $6.025. Size = 12.5%.

Basically the re-openning of trade #16 but with better entry.

Covered IFL @ $6.045. Sold half of PTM @ $3.97. Looking for above $4 for the remaining PTM long.

 

[skc]

Long TEL / Short SGT. Long NZ and short Singapore. TEL seems to have Telstra-like status in NZ and has gone up strongly despite the weak market. SGT has been a bit more up and down. SGT is going ex-div (9c) on 1 Aug so I won't hold this trade for much past early July. Both shares have primary listing overseas so the market depth on the ASX is pretty much meaningless - there are market makers / arbitrager (or whatever they are) who make both stock tick along with thier corresponding main board. Profit target 4%+.

Trade closed. Sold TEL @ $1.925. Covered SGT @ $2.53. P&L = 4.22%.

 

[skc]

Trade #28 opened. Long CPU @ $7.43. Short IRE @ $6.64. Size 10%.

 

[skc]

Covered IFL @ $6.045. Sold half of PTM @ $3.97. Looking for above $4 for the remaining PTM long.

Going off to lunch so just closed rest of PTM @ $3.99.

So overall PTM closed at $3.98. P&L = 2.91%.