ASX Stock Pairs Trade Journal

[SilverRanger]

Traded this on the open on the first day. Managed about 5%.

See recent ALD / SBM on how long it takes the prices to converge.

Good idea...

Just spent some time plotting the "premium" (implied/market price) for ALD and IGR since day 1 of the announcement.

Obviously using EOD data alone doesn't show the full dynamics, but the week 1 performance are quite different for the two, which is surprising since ALD/SBM has board and independent expert's recommendation right from the start. That would have been a much better opportunity than IGR/SLR.

I guess for IGR the premium will most likely sit in the current range until something big, e.g. independent expert's report or (ideally) a superior offer! In the meantime I should be comfortably sitting on my 4.8%...

 

[fingl]

Guys would you avoid trading stks giving dividend?

 

[notting]

Hmmm sell BHP 32.88 buy RIO 52.26
I just don't know.:bloated:

 

[skc]

Guys would you avoid trading stks giving dividend?

You mean avoid holding during ex-div periods? Not necessarily but you need to consider extra dimensions like franking credits and the fact that PTF will give false entry/exit signals on share price movements due to dividends.

Hmmm sell BHP 32.88 buy RIO 52.26
I just don't know.:bloated:

Dunno. RIO already ex-div so is the signal actually valid?

 

[notting]

Dunno. RIO already ex-div so is the signal actually valid?

Dividends accounted for.
BHP is showing more strength due to diversification and having not paid dividend. That has played out for days and it's well overvalued relatively to RIO having paid etc. given the 97% correlation.

Never take too much notice of the stupid Pair Trade Finder. I have it set up on two different computers with exactly the same preferences and it gives completely different percentages from the mean and signal entries.

You also cannot back it up properly with images and data kept on different discs in case of a crash. It does not recover and you have to reinstall, it will not pick up your pairs data after reinstalling, all data has to be manually entered again manually and it gives you totally different signals and percentages from the mean etc. If your not on top of your game you will have no idea where all your open trades truely lie, well not without alot of work!

Pair Trade Finder is a peace of crap.
The guy selling it is a lazy good for nothing dick who does not respond to serious issues.

 

[skc]

Pair Trade Finder is a peace of crap.

Wanted to say something different, but can't really disagree.

 

[sinner]

Pair Trade Finder is a peace of crap.
The guy selling it is a lazy good for nothing dick who does not respond to serious issues.

Hmmm, I always assumed it was at least alright software, but if what you say is true I should write a solid client and sell it for ...how much does that dude sell it for? per copy...

 

[notting]

Wanted to say something different, but can't really disagree.

Still OK for analysing spreads and so on as you would know.

 

[notting]

Hmmm, I always assumed it was at least alright software, but if what you say is true I should write a solid client and sell it for ...how much does that dude sell it for? per copy...

I think I went in pretending to be US based and picked it up for around 350.00 free delayed data from Yahoo.
That would be great sinner!

 

[skc]

Hmmm, I always assumed it was at least alright software, but if what you say is true I should write a solid client and sell it for ...how much does that dude sell it for? per copy...

His pricing changes regularly like a penny stock. I think it's been free (on open an IG market account) to $899. I paid at the lower end of that range. The website now says $49 per month with free data (not sure if that meant free yahoo or live data).

If you do write something I'd be quite interested.

 

[SilverRanger]

Closing IGR/SLR after a nice spike today. Time to get back to real business!

 

[edman79]

You also cannot back it up properly with images and data kept on different discs in case of a crash. It does not recover and you have to reinstall, it will not pick up your pairs data after reinstalling, all data has to be manually entered again manually and it gives you totally different signals and percentages from the mean etc. If your not on top of your game you will have no idea where all your open trades truely lie, well not without alot of work!

Hi Notting,
Are you backing up using SQL Server Management Studio. I do a backup nightly and restore to the same computer if I have a problem or restore to a laptop if I'm going away. I dont have a problem restoring it and only have to manually add pairs if I'm looking for new pairs.

Let me know if you need more info.

 

[fingl]

skc, what gives you the confidence to use discretionary exit on your trading when you do not know whether discretionary may outperform? You mention you use to choose those good stk with good figures or curve in your initial trading. How many min number of yrs of "good" curve before you include them for trading?

 

[fingl]

You mean avoid holding during ex-div periods? Not necessarily but you need to consider extra dimensions like franking credits and the fact that PTF will give false entry/exit signals on share price movements due to dividends.

skc, referring to avoid shortsell during exdiv. The price would reflect the deduction of div amount but is true signal right? due to the price has digest the div. The signal may turn out to be profit or loss. Should those signals due to deduction of div be avoided? Between skc how do you determine a appropriate good hedge for franking credit trade?

 

[notting]

Sell BOQ 7.55 buy BEN 7.62

 

[skc]

skc, what gives you the confidence to use discretionary exit on your trading when you do not know whether discretionary may outperform? You mention you use to choose those good stk with good figures or curve in your initial trading. How many min number of yrs of "good" curve before you include them for trading?

I actually do know that my discrectionary exit out performs. I record my own exits against system signal exits and I beat it quite handsomely. Now what I don't know is whether it means my system parameters should be better optimised.

My hold timeframe is 1-2 weeks... how many years of good curve do you think I should use?

skc, referring to avoid shortsell during exdiv. The price would reflect the deduction of div amount but is true signal right? due to the price has digest the div. The signal may turn out to be profit or loss. Should those signals due to deduction of div be avoided? Between skc how do you determine a appropriate good hedge for franking credit trade?

Yes. Avoid false signals due to dividend... surely you knew that already.

 

[SilverRanger]

NWH went into trading halt today just as I was in the queue at 2.22, did I dodge a bullet or miss a free trip to Europe? Sounds like it's the former since FMG is deferring a few projects...

 

[skc]

NWH went into trading halt today just as I was in the queue at 2.22, did I dodge a bullet or miss a free trip to Europe? Sounds like it's the former since FMG is deferring a few projects...

Well you are luckier than me. I actually opened NWH yesterday but managed to scramble out of it this morning at a medium loss. I was too slow in making the connection between FMG's announcement and NWH's contracts.

Lesson learned and probably avoided a bigger hit anyway.

 

[SilverRanger]

Well you are luckier than me. I actually opened NWH yesterday but managed to scramble out of it this morning at a medium loss. I was too slow in making the connection between FMG's announcement and NWH's contracts.

Lesson learned and probably avoided a bigger hit anyway.

http://www.asx.com.au/asx/statistics/displayAnnouncement.do?display=pdf&idsId=01325981

See page 9 on the 'key projects" in 2012, Herb Elliott Port and Solomon Firetail are on the list!

A good lesson indeed to know about the companies you trade on, and a big "phew" for me...

 

[skc]

http://www.asx.com.au/asx/statistics/displayAnnouncement.do?display=pdf&idsId=01325981

See page 9 on the 'key projects" in 2012, Herb Elliott Port and Solomon Firetail are on the list!

A good lesson indeed to know about the companies you trade on, and a big "phew" for me...

Can't expect to know them all by heart. But I saw FMG's announcement and thought "that's another hit to the sector and I wonder who's contract got canned".... then I saw the price action of NWH after open and made the connection.

Too slow. Would have got out on the open