ASX Stock Pairs Trade Journal

[VSntchr]

Missed my NHF/RHC entry this morning, got distracted by the BTT surge that I wanted to fade.

There was actually a couple of moments where the entry was more favourable today. NHF was flat at 2.50 for a bit and RHC went up. Would have had to have been good timing however, I've found RHC a tough one to pairs trade as it can just run away from you while your waiting...it's price seems to be quite irrational from the market (i guess this is the defensive qualities)...hence I really like to enter that leg first.

I opted for the materials trade that I didn't quite get yesterday and went BLD/DLX. Like SKC, the BLD component is making me a bit underwater at present, but early days.


I'm still sitting on a bunch of losers atm; SGT/TEL, DJS/PMV and IIN/MTU are all making me

 

[skc]

I'm still sitting on a bunch of losers atm; SGT/TEL, DJS/PMV and IIN/MTU are all making me

Surely you are winning with IIN/MTU? Or do you have it the other way round?

There was some write up about TPM finally making a bit for IIN which I thought was the reason for IIN's strong showing last week. Anyhow that rumour has been as long as I've been in the market so take it with a grain of salt.

 

[VSntchr]

Surely you are winning with IIN/MTU? Or do you have it the other way round?

There was some write up about TPM finally making a bit for IIN which I thought was the reason for IIN's strong showing last week. Anyhow that rumour has been as long as I've been in the market so take it with a grain of salt.

Yep lol. Long MTU Short IIN.
Im only slightly down on IIN, it is MTU thats dragging me down...

 

[skc]

Yep lol. Long MTU Short IIN.
Im only slightly down on IIN, it is MTU thats dragging me down...

I will help you a bit... I am putting on long MTU / short TPM.

BTW there's also always a rumour that MTU and IIN will merge. Probably just some M&A bankers wet dream but you never know...

 

[VSntchr]

I will help you a bit... I am putting on long MTU / short TPM.

I'll start counting the profits now

 

[SilverRanger]

There was actually a couple of moments where the entry was more favourable today. NHF was flat at 2.50 for a bit and RHC went up. Would have had to have been good timing however, I've found RHC a tough one to pairs trade as it can just run away from you while your waiting...it's price seems to be quite irrational from the market (i guess this is the defensive qualities)...hence I really like to enter that leg first.

I opted for the materials trade that I didn't quite get yesterday and went BLD/DLX. Like SKC, the BLD component is making me a bit underwater at present, but early days.


I'm still sitting on a bunch of losers atm; SGT/TEL, DJS/PMV and IIN/MTU are all making me

I've got similar stuff as you atm: TLS/TEL, DJS/MYR, IIN/MTU, plus 2 more bigger losers, CWN/ALL and ABC/CSR, but overall still up for the month.

 

[skc]

I've got similar stuff as you atm: TLS/TEL, DJS/MYR, IIN/MTU, plus 2 more bigger losers, CWN/ALL and ABC/CSR, but overall still up for the month.

For clarity I always put the long leg first... so I'd imagine you have ALL/CWN?

CWN has very shallow dips and every month when they release gaming stats in Macau, it goes up some more. I've pretty much given up shorting that against anything.

 

[SilverRanger]

For clarity I always put the long leg first... so I'd imagine you have ALL/CWN?

CWN has very shallow dips and every month when they release gaming stats in Macau, it goes up some more. I've pretty much given up shorting that against anything.

Oh, in that case then it's TLS/TEL, MYR/DJS, MTU/IIN, ALL/CWN and ABC/CSR.

Yes, I think that's what I'd do with CWN from now on too, lesson learnt.

 

[VSntchr]

With GWA I shorted it towards the close as well. It's still reasonably strong today. I've paired that with BLD so it's a bit against me for now

Finally one that treated me well for the last fortnight!
Managed break even on BLD but made the 2.2% target on the DLX short. BLD could well run back over $4.80 but I was happy to take the quick profit given my trading recently.

BLD had an update this time last year also so that could come into play any day now....

 

[SilverRanger]

Finally one that treated me well for the last fortnight!
Managed break even on BLD but made the 2.2% target on the DLX short. BLD could well run back over $4.80 but I was happy to take the quick profit given my trading recently.

BLD had an update this time last year also so that could come into play any day now....

I'm also having a good day today, but funny enough it's not because of my winners are bringing home the bacon, but my losers are shrinking! Time to close some of them and free up some capital.

 

[SilverRanger]

And skc, what sort of performance metrics do you use to measure your pair trading success?

The ones I'm currently using now are:

• # Trades
• Winning %
• Return (as a % of my average leg size)
• Average winners (%)
• Average losers (%)
• Profit factor

It looks like I'm still missing on some good measurements of risk. Any ideas?

 

[skc]

And skc, what sort of performance metrics do you use to measure your pair trading success?

The ones I'm currently using now are:

• # Trades
• Winning %
• Return (as a % of my average leg size)
• Average winners (%)
• Average losers (%)
• Profit factor

It looks like I'm still missing on some good measurements of risk. Any ideas?

Not much more. I track account % and $ P&L as well as drawdown. I also track P&L MA20 on trades and on account just to make sure things are on track.

 

[VSntchr]

It looks like I'm still missing on some good measurements of risk. Any ideas?

What about something that tracks your position sizing against volatility or something similar?
This could help you to optimise leg size

 

[skc]

What about something that tracks your position sizing against volatility or something similar?
This could help you to optimise leg size

Volatility is hard to track. Ideally I'd like to record max adverse excursion on each trade but my Excel skill isn't up to scratch.

 

[VSntchr]

Volatility is hard to track.

Instead of volatility could just chart % change on historical trades...not really perfect as it only captures what the trade finishes at, but its likely that the trades that swing +/-5% during the trade will finish at higher extremes than the ones that swing only 1-3%. Another limitation is that this only uses historical trades..hmmm.

Ideally I'd like to record max adverse excursion on each trade but my Excel skill isn't up to scratch.

Yeah, I try to automate as much as possible within excel, but I am fairly basic with my formula/coding skills.

 

[SilverRanger]

Volatility is hard to track. Ideally I'd like to record max adverse excursion on each trade but my Excel skill isn't up to scratch.

Max adverse excursion! Yes, that's what I want I can probably use this to optimise my hard stop loss too.

Might as well add in max favourable excursion to measure my early exits' success. Thanks heaps!

I think these two should be fairly simply with a bit of macro, simply set up 2 cells (one for max and min) per trade and every you update PnL, press the macro button and update these two values as well.

 

[SilverRanger]

Not much more. I track account % and $ P&L as well as drawdown. I also track P&L MA20 on trades and on account just to make sure things are on track.

What's account %? The size of your leg relative to your account?

 

[skc]

Max adverse excursion! Yes, that's what I want I can probably use this to optimise my hard stop loss too.

Might as well add in max favourable excursion to measure my early exits' success. Thanks heaps!

I think these two should be fairly simply with a bit of macro, simply set up 2 cells (one for max and min) per trade and every you update PnL, press the macro button and update these two values as well.

I stream live data from Iress into the spreadsheet for pair's P&L but with iterative/self-referencing cells I couldn't quite get the quote to work. If you get this working and don't mind sharing... I'd love to have that in my spreadsheet as well

What's account %? The size of your leg relative to your account?

I just meant $ and % P&L at the account level, as opposed to individual trades. Because ultimately you want your account balance to move in the right direction while keeping track of individual trades.

 

[SilverRanger]

I stream live data from Iress into the spreadsheet for pair's P&L but with iterative/self-referencing cells I couldn't quite get the quote to work. If you get this working and don't mind sharing... I'd love to have that in my spreadsheet as well

Lol, not at all. I will work on it when I get back home, probably while watching tennis.

I just meant $ and % P&L at the account level, as opposed to individual trades. Because ultimately you want your account balance to move in the right direction while keeping track of individual trades.

Oh, yes I keep track of them as well, although not as % of account since I have 2 separate accounts

 

[SilverRanger]

Lol, not at all. I will work on it when I get back home, probably while watching tennis.

Just finished my little macro to update the MAE and MFE for each trade, feel free to drop me a PM with your email if you are interested