ASX Stock Pairs Trade Journal

[DJG]

Could someone please guide me to a respected website/books that can offer an introduction along with further information on pairs trading. I prefer a website that doesn't try to sell me a system.

Anything on the internet I've found either only briefly touches on it just enough so I want to know more or try's to sell me something. - I'll go back to whatever page I was up to and keep reading on this thread also. Just wore on me a bit though at the start regarding the magic system that tells you when to buy and sell.

 

[Huskar]

#1 CLOSED
SOLD PMV $6.85 (0.14% profit)
COVERED PBG $0.71 (5.3% profit)
Commision: 0.10%

Happy to take a good profit after only 1 day.
Perhaps BBG's ann. helped drag PBG down which has been a bit more resilient than the other retailers of late. Had I executed the trade better I could have achieved ~3% more...

I echo SKC's .

Out of interest did you go with CFDs? IG? Had you used CFDs before - if not are you finding it easy to use?

 

[VSntchr]

Cheers fellas,
Yeah Ive gone with CFD's for both legs at the moment. I am still setting up an IB account but so far IGmarkets has been good via their DMA platform. I think the biggest challenge for me is going to be to remain strictly disciplined with position sizing, CFD's have amazing leverage but this is very dangerous...to counter this risk I have a big printout above my screen "MAX 20% ACCOUNT" referring to max leg size

I haven't used CFD's before but I spent a week using the demo account to get used to the platform - although the demo was in market maker (need to have an account over $2k to access DMA). Probably should have spent another week playing around as my inexpereience showed up with horrible execution in that first trade - but theres not better lessons learnt than in real time...

 

[CanOz]

Cheers fellas,
Yeah Ive gone with CFD's for both legs at the moment. I am still setting up an IB account but so far IGmarkets has been good via their DMA platform. I think the biggest challenge for me is going to be to remain strictly disciplined with position sizing, CFD's have amazing leverage but this is very dangerous...to counter this risk I have a big printout above my screen "MAX 20% ACCOUNT" referring to max leg size

I haven't used CFD's before but I spent a week using the demo account to get used to the platform - although the demo was in market maker (need to have an account over $2k to access DMA). Probably should have spent another week playing around as my inexpereience showed up with horrible execution in that first trade - but theres not better lessons learnt than in real time...

Well done VS, looking forward to some more pairs trades!

 

[skc]

Cheers fellas,
Yeah Ive gone with CFD's for both legs at the moment. I am still setting up an IB account but so far IGmarkets has been good via their DMA platform. I think the biggest challenge for me is going to be to remain strictly disciplined with position sizing, CFD's have amazing leverage but this is very dangerous...to counter this risk I have a big printout above my screen "MAX 20% ACCOUNT" referring to max leg size

In IG's platform there's a function to limit max size per ticket. Set it to something like 25% of your account. That was you can't go bigger than that without clicking a few more screens, plus you won't fat finger a trade with an extra zero or two.

 

[VSntchr]

Had a trigger (CQR/ALZ) that I was happy with this morning until I did a bit of quick research and found this wrt to ALZ - "Information has been made available to a select number of parties that have expressed an interest in the whole or parts of the Group". Takeover for my short?? - no thanks

 

[skc]

Had a trigger (CQR/ALZ) that I was happy with this morning until I did a bit of quick research and found this wrt to ALZ - "Information has been made available to a select number of parties that have expressed an interest in the whole or parts of the Group". Takeover for my short?? - no thanks

ALZ takeover first came up Dec last year. GPT was the potential buyer with Mirvac also expressing an interset. Both have walked away from the deal although there's still words about some private company looking at ALZ's residential assets.

It's off my short list for now but the immediate danger of a takeover is probably not that high.

 

[VSntchr]

ALZ takeover first came up Dec last year. GPT was the potential buyer with Mirvac also expressing an interset. Both have walked away from the deal although there's still words about some private company looking at ALZ's residential assets.

It's off my short list for now but the immediate danger of a takeover is probably not that high.

Yeah, I was almost trying to convince myself to take the trade based on my thoughts that the probability is quite low...but I decided to be stringent and not test my luck so early on..

#2 Long IOF $2.97
Short WRT $3.02

IOF is going ex div towards the end of the month so this may have some support to the price. WRT is where I would expect to make the gain on this trade given the current environment. I have considered that WRT has strong support at $3.00 - I thought about waiting for $3.00 to break but I have virtually no tech/a skills so decided to ignore that part of my analysis.

 

[DJG]

Could someone please guide me to a respected website/books that can offer an introduction along with further information on pairs trading. I prefer a website that doesn't try to sell me a system.

Anything on the internet I've found either only briefly touches on it just enough so I want to know more or try's to sell me something. - I'll go back to whatever page I was up to and keep reading on this thread also. Just wore on me a bit though at the start regarding the magic system that tells you when to buy and sell.

Could anyone give me a hand with the above questions, more so in regard to website's whilst I wait to purchase a few books I've lined up.

Thanks,

 

[DJG]

Also, any chance anybody has a basic and/or already developed pairs trading spreadsheet they're using?
I'm waiting for PTF to get back to me regarding an error with the trial installation. I'd also prefer to use Excel after identifying a potential setup in PTF.

 

[skc]

Could anyone give me a hand with the above questions, more so in regard to website's whilst I wait to purchase a few books I've lined up.

Thanks,

I think contents in this thread and trade examples are about as good as you can find anywhere else.

There are probably some academic / research papers on pairs and statistics that you can google for, if you are interested in that.

Also, any chance anybody has a basic and/or already developed pairs trading spreadsheet they're using?
I'm waiting for PTF to get back to me regarding an error with the trial installation. I'd also prefer to use Excel after identifying a potential setup in PTF.

What do you mean by pairs trading spreadsheet? One that calculates what PTF calculate? Or just one that record your trades?

For one that record trades, you can consider mirroring the one I used for my trade journal (around June 2012 in this thread).

 

[edman79]

I think contents in this thread and trade examples are about as good as you can find anywhere else.

There are probably some academic / research papers on pairs and statistics that you can google for, if you are interested in that.



What do you mean by pairs trading spreadsheet? One that calculates what PTF calculate? Or just one that record your trades?

For one that record trades, you can consider mirroring the one I used for my trade journal (around June 2012 in this thread).

Ha Ha SKC you beat me to the punch, I was just writing a reply when I saw you had already replied.
For the record I was going to say all the information you need is contained in this thread. There have been 2 real time trading journals that I have witnessed with a third in progress now.

If you need an excel spreadsheet just copy the one SKC did a few months back.

 

[DJG]

Thanks guys.

I've been working through this journal and as mentioned, found it very helpful!
I like piecing together everybody's views and deciding upon my own.

In regard to the spread sheet. - I'll take a look at your trade log SKC.
However, I was mainly after something that gave me the correlation, etc that may help with making a decision.

Thanks again

 

[edman79]

Thanks guys.

I've been working through this journal and as mentioned, found it very helpful!
I like piecing together everybody's views and deciding upon my own.

In regard to the spread sheet. - I'll take a look at your trade log SKC.
However, I was mainly after something that gave me the correlation, etc that may help with making a decision.

Thanks again

writing this reply for the 2nd time because my browser closed
You can recreate all the maths for PTF in Excel but you have to store all the historical data. I have done it once for my own piece of mind but its very cumbersome. You could write your own program to do what PTF does but then why not use PTF? It gives you the entry signals and you can manage the trade from there however you see fit (see skc journal).

I agree that you have to take what you want from the thread and "decide on your own view", as with all trading.

 

[DJG]

writing this reply for the 2nd time because my browser closed
You can recreate all the maths for PTF in Excel but you have to store all the historical data. I have done it once for my own piece of mind but its very cumbersome. You could write your own program to do what PTF does but then why not use PTF? It gives you the entry signals and you can manage the trade from there however you see fit (see skc journal).

I agree that you have to take what you want from the thread and "decide on your own view", as with all trading.

Most likely I will use PTF, just waiting for them to email me back in regard to an error in installing the trial version.
Thought I'd see what could be done anyway.

Yeap, definitely taking bits and pieces, re-arrange and eventually stick together to which ever way I see fit.

 

[CanOz]

Most likely I will use PTF, just waiting for them to email me back in regard to an error in installing the trial version.
Thought I'd see what could be done anyway.

Yeap, definitely taking bits and pieces, re-arrange and eventually stick together to which ever way I see fit.

What was the error Dan ?

 

[DJG]

What was the error Dan ?

In bed at the moment but when I'm in front of the computer tomorrow I can let you know.
I think it might have to do with the creation of the folder or locating the SQL..I even used the walk through guide and still managed to stuff it up

 

[VSntchr]

While we are on the topic of PTF I'd like to vent my anger with the program.
I'm still on the trial and my pairs are only 2 weeks old so I hope this doesn't continually occur - but I have mutiple signals going off that seem to be caused by missing data. I.e. a few days of missing prices causes a massive change in the price levels when data resumes (assuming the prices have moved) which causes the SD to jump...its dangerous because if your not closely checking the dates/price data you could enter a trade erroneously..
-End rant..

Back to trading: Had a few signals go off last night with IOF as the long and a few other REITS as the short, so hopefully my IOF/WRT will see some green shortly

In the que for two more trades today, will post if I enter.

 

[VSntchr]

In the que for two more trades today, will post if I enter.

Trade #3
Long IFL @ $7.45 (only partially filled, but not planning to reach up in this market..will be patient)
Short IAG @ $5.44

 

[DJG]

I've noticed a few people don't know how many pairs are out there, yet more experienced individuals such as SKC knows a few more than others. When I get a chance and some spare time. I'm going to go back through this thread and get absolutely every single pair that anyone has mentioned and put them into a spreadsheet or Microsoft Word document.
Then I'll upload it here and we can discuss which one's should be removed and/or added to it. Eventually we should get a decent database of possible pair setups. - Hopefully this might increase some of the more green traders (such as myself) winning statistics as they pick up more trades (reverse could be true).

I can divide the pairs into groups (noticed some don't like trading REIT's for example - Such as 'Financials', 'Mining', 'Media' etc.
Some might be cross-sector so I could make a separate group called 'Cross-Sector' or something along those lines.

I reckon this might open everybody's horizon's a bit more and realise just how many pairs are out there.

The layout will be something like this:


If this sounds good to everybody, I'll try allocate some time for it.