ASX Stock Pairs Trade Journal

VSntchr · 2 December 2013

Earlier on in this thread PTF (Jared) spoke about pairing the top 100 with ^AXJO.

Does anyone know how to add the index codes to the program?
I've tried ^AXJO, ^XJO, AXJO, XJO...and ive tried for other indicies too, with no luck...

On a lighter note, lots of signals to choose from today

skc · 2 December 2013

spec said:
Thanks all for a very useful discussion.

In order to increase the chance that the pair will revert, I'm thinking of filtering out sectors that show strong relative strength, and trade only "weaker" sectors. For example (in the US) the consumer discretionary sector is very strong now and we would not trade pairs in this sector. We would trade the weaker Staples or Basic Material sectors instead.

What do you think ?

I don't know the US sectors so can't comment on them. I also don't know about your trade signal parameters so I can't comment whether your approach makes sense at all.

I haven't taken any sector off the table myself just because they are strong, but if you have traded pairs for some time and is familiar with the sectors you trade and how they behave, there's no reason why you can't take certain sectors out of the regular rotation at your discretion.

SilverRanger · 3 December 2013

skc said:
I don't know the US sectors so can't comment on them. I also don't know about your trade signal parameters so I can't comment whether your approach makes sense at all.

I haven't taken any sector off the table myself just because they are strong, but if you have traded pairs for some time and is familiar with the sectors you trade and how they behave, there's no reason why you can't take certain sectors out of the regular rotation at your discretion.

That's mostly true for me too except I'm extremely cautious in the mining services sector, who knows who will be the next ASL, WOR or AAX!

- - - Updated - - -

VSntchr said:
Earlier on in this thread PTF (Jared) spoke about pairing the top 100 with ^AXJO.

Does anyone know how to add the index codes to the program?
I've tried ^AXJO, ^XJO, AXJO, XJO...and ive tried for other indicies too, with no luck...

On a lighter note, lots of signals to choose from today

You can try STW, the ETF instead

skc · 3 December 2013

SilverRanger said:
That's mostly true for me too except I'm extremely cautious in the mining services sector, who knows who will be the next ASL, WOR or AAX!

Or FGE!

Mining services and gold used to be frequently traded by me. But gold is now limited to 10% of position size, while mining services I only long them if they reaffirmed guidance in the last 4 weeks.

I was thinking about pairing a downgraded stock with a pre-downgrade stock, but I think it's just too much pot luck involved.

spec · 4 December 2013

skc said:
I don't know the US sectors so can't comment on them. I also don't know about your trade signal parameters so I can't comment whether your approach makes sense at all.

I haven't taken any sector off the table myself just because they are strong, but if you have traded pairs for some time and is familiar with the sectors you trade and how they behave, there's no reason why you can't take certain sectors out of the regular rotation at your discretion.

My REIT pairs behave erratically lately, while Staples pairs continue to behave well, hence the idea above. Just an idea, not implemented yet.

re: mining pairs, haven't had luck with them either. Too much political risks IMO.

VSntchr · 12 December 2013

Just wondering if any other pairs traders out there are using hard stops?
If so, are you setting them on the platform when you make your orders or are you writing them elsewhere/taking a mental note of where to sell should the price fall there?

I've been setting at the opening of the trade but had a bad experience today where a stock gapped up and not only did the stop get hit, it actually transacted another 10 ticks above the price ($8 stock). 5 minutes later and the stock was back well down below my stop.

Have others encountered this and if so, do you take it as a cost involved with risk management, or are you taking other routes to prevent it occurring?

Also: After checking the course-of-sales data, I see that the price IG gave me seems to be wrong - only half of what my order size went through at price they have recorded the sale at....hmmmm?

skc · 12 December 2013

VSntchr said:
Just wondering if any other pairs traders out there are using hard stops?
If so, are you setting them on the platform when you make your orders or are you writing them elsewhere/taking a mental note of where to sell should the price fall there?

I've been setting at the opening of the trade but had a bad experience today where a stock gapped up and not only did the stop get hit, it actually transacted another 10 ticks above the price ($8 stock). 5 minutes later and the stock was back well down below my stop.

Have others encountered this and if so, do you take it as a cost involved with risk management, or are you taking other routes to prevent it occurring?

Why do you want hard stop on one leg only? It sounds like your short leg spiked up but there's no need to cover it if your long leg also went up, for example.

I don't use hard stops but I do use limit orders to catch any profits from random spikes. If you have a mental note on various support/resistance that you want to stick with you'd have to just monitor for yourself.

VSntchr said:
Also: After checking the course-of-sales data, I see that the price IG gave me seems to be wrong - only half of what my order size went through at price they have recorded the sale at....hmmmm?

What's the stock? They are sort of allowed to do that. Even though you are trading DMA (my guess) your order could still be filled on their own book. And as long as it is at your price there is nothing wrong with it. In fact, had they not provided the liquidity and just throw your position in the market, you'd probably get a worse average fill anyway. So send them a Xmas card and thank them for the extra liquidity.

VSntchr · 12 December 2013

skc said:
Why do you want hard stop on one leg only? It sounds like your short leg spiked up but there's no need to cover it if your long leg also went up, for example.

I don't use hard stops but I do use limit orders to catch any profits from random spikes. If you have a mental note on various support/resistance that you want to stick with you'd have to just monitor for yourself.

What's the stock? They are sort of allowed to do that. Even though you are trading DMA (my guess) your order could still be filled on their own book. And as long as it is at your price there is nothing wrong with it. In fact, had they not provided the liquidity and just throw your position in the market, you'd probably get a worse average fill anyway. So send them a Xmas card and thank them for the extra liquidity.

Im setting hard stops on both legs. I think I am going to abandon that idea and stick to the idea of a stop based on overall PnL of the pair....

It was PMV, stop set at 7.90 and filled at 8.00. Then went straight back to ~7.70ish.

skc · 12 December 2013

VSntchr said:
Im setting hard stops on both legs.

Not sure what you aim to achieve by doing that.

VSntchr said:
I think I am going to abandon that idea and stick to the idea of a stop based on overall PnL of the pair....

That's the only way. Plus some event-based stop. There may be some merits in looking at a chart in isolation and scratch a trade when a major level is breached... but that should still depend on how the pair's P&L is going.

VSntchr said:
It was PMV, stop set at 7.90 and filled at 8.00. Then went straight back to ~7.70ish.

The depth of PMV can be pretty shallow at the best of times. Your stop once triggered is at IG's discretion to fill. Unfortunately you got filled into a hole...

VSntchr · 12 December 2013

Yeah, I understand the IG issue now - sucks, but at least I know now...thanks.

And yeah it was just a maximum loss I was prepared to take on each leg..but the more I think about it the more counter-productive its sounding. Its subject to events pushing both stocks, trend pushing both stocks (which can still be profitable as obviously both pairs don't need to move in your direction), and of course random spikes.

Thanks for your help...I'm going to spend a bit of time refining a few things.

VSntchr · 6 January 2014

Long: IIN $6.26
Short: MTU $6.31

This has been a profitable pair in the past for me and now at -2.5SD it represents a good trade IMO. Will log it here.

SilverRanger · 6 January 2014

VSntchr said:
Long: IIN $6.26
Short: MTU $6.31

This has been a profitable pair in the past for me and now at -2.5SD it represents a good trade IMO. Will log it here.

This pair didn't diverge enough today for me, but yes it does look pretty good. I took on long SGN and short NWS instead at market close, as I looked why SGN fell that bad and found no news

VSntchr · 7 January 2014

SilverRanger said:
This pair didn't diverge enough today for me, but yes it does look pretty good. I took on long SGN and short NWS instead at market close, as I looked why SGN fell that bad and found no news

That one moved nicely for you!

Lots of signals today, hard to keep up..but with DXS, CPA and GPT all with price sensitive ann's, most of it shouldn't be traded.

Still got a few others I'm waiting for - SWM/TEN looks okay...just a bit worried about the TEN leg.

skc · 7 January 2014

VSntchr said:
Long: IIN $6.26
Short: MTU $6.31

This has been a profitable pair in the past for me and now at -2.5SD it represents a good trade IMO. Will log it here.

I shorted TPM instead.

VSntchr said:
That one moved nicely for you!

Lots of signals today, hard to keep up..but with DXS, CPA and GPT all with price sensitive ann's, most of it shouldn't be traded.

Still got a few others I'm waiting for - SWM/TEN looks okay...just a bit worried about the TEN leg.

CPA/DXS/GPT has to be traded with fundamentals as opposed to statistics. So no pairs on these for me.

SGN is too thin for my liking. Also got a few signals to short TEN but I am not sure TEN has run its course from a technical point of view. I will reassess if it can get up to the 32.5/33 mark.

Also passed on AGI/ALL due to liquidity but this pair is usually pretty reliable.

VSntchr · 7 January 2014

I shorted TPM instead.

Yeah, it certainly has had a very strong spurt and could pull back.

SGN is too thin for my liking.

My position sizing is small so it is on my list, however I didnt enter as Silver did yesterday. I see its on again now, but I'll be waiting for a bit more than whats currently on offer.

Also got a few signals to short TEN but I am not sure TEN has run its course from a technical point of view. I will reassess if it can get up to the 32.5/33 mark.

I agree.

SilverRanger · 8 January 2014

VSntchr said:
Yeah, it certainly has had a very strong spurt and could pull back.

My position sizing is small so it is on my list, however I didnt enter as Silver did yesterday. I see its on again now, but I'll be waiting for a bit more than whats currently on offer.

I agree.

Closed SGN @ 1.46 and NWS @ 19.41 for a quick profit, then turned to long SWM/short CRZ at market close, hope it's as good as my last pair

VSntchr · 8 January 2014

SilverRanger said:
Closed SGN @ 1.46 and NWS @ 19.41 for a quick profit, then turned to long SWM/short CRZ at market close, hope it's as good as my last pair

My system actually showed the SGN/NWS trade going off twice, I was onto it the second time...but it reverted while I was waiting for it to divert a bit more...so never got a cent out of it, well done to you sir.

I was watching SWM all day and almost pulled the trigger on close, however I left it for tomorrow.
Personally I'd be too scared to short CRZ against SWM. I have it pencilled in my head as a stronger stock and would much prefer to be on the reverse end of that trade (when the statistics suggest so of course). But there's not a whole lot of meat behind that, just one of the many mental labels I have on various stocks, anyway - good luck...

I did manage to get an entry into AIO/TOL today...a little down at the moment.

VSntchr · 9 January 2014

I've joined in on SWM, except I've gone short TEN @ 32.5. Took me a while to get filled as I was a bit worried at 30.5c so I waited, hopefully its reached a short term technical top around 32.5/33 and will retrace down to ~30c.

skc · 9 January 2014

VSntchr said:
I've joined in on SWM, except I've gone short TEN @ 32.5. Took me a while to get filled as I was a bit worried at 30.5c so I waited, hopefully its reached a short term technical top around 32.5/33 and will retrace down to ~30c.

I took FXJ/TEN at 64.5/34.5. Very small size just to watch it tick. TEN at 35.5 now. This name is up 6 days in a row and over 25%.

VSntchr said:
I did manage to get an entry into AIO/TOL today...a little down at the moment.

I have the same trade - down 2% but not too worried.

skc said:
I shorted TPM instead.

The only trade treating me kindly today...

VSntchr · 10 January 2014

skc said:
I took FXJ/TEN at 64.5/34.5. Very small size just to watch it tick. TEN at 35.5 now. This name is up 6 days in a row and over 25%.

Well done, nice entry and hopefully you've picked the top

It's certainly stopped going up for now, lets see what the afternoon run home brings...

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