ASX Stock Pairs Trade Journal

[VSntchr]

Well Silver it may have been a coincidence that you were seeking opinions on how others react to brokers up/down grades as it looks like UBS just re-affirmed its SELL on CRZ...

Im looking at CRZ/AHE but waiting for a better entry on AHE before I jump in...


Some of the big losers have reverted a bit the last two days...still waiting on IIN/MTU and SGT/TEL though.

Looking back at some of my recent losers that I cut after ~8 days or so, they have reverted enough to trigger a signal the other way...eg. AIO/TOL. This is reinforcing that I need more patience, so I'm trying not to worry to much with the open losers as they are only now coming to the 8 day mark.


EDIT:
JPmorgan just re-affirmed overweight CRZ despite slightly lowering guidance so its a bit of a mixed bag.

 

[skc]

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

PM sent. Thanks! :#

Looking back at some of my recent losers that I cut after ~8 days or so, they have reverted enough to trigger a signal the other way...eg. AIO/TOL. This is reinforcing that I need more patience, so I'm trying not to worry to much with the open losers as they are only now coming to the 8 day mark.

I am kicking myself with AIO/TOL. I closed at breakeven but now it's well in profit. I think information from the MAE/MFE type analysis I think you'd get a better sense on when to hold and when to fold.

Well Silver it may have been a coincidence that you were seeking opinions on how others react to brokers up/down grades as it looks like UBS just re-affirmed its SELL on CRZ...

Im looking at CRZ/AHE but waiting for a better entry on AHE before I jump in...

With these car stocks, keep an eye on those monthly new car sale release timing. And a reminder to myself... try pairing MMS with these car stocks.

 

[SilverRanger]

Well Silver it may have been a coincidence that you were seeking opinions on how others react to brokers up/down grades as it looks like UBS just re-affirmed its SELL on CRZ...

Im looking at CRZ/AHE but waiting for a better entry on AHE before I jump in...

I'm still in my CRZ/IRE and now slightly in the red, not too worried as this point

I am kicking myself with AIO/TOL. I closed at breakeven but now it's well in profit. I think information from the MAE/MFE type analysis I think you'd get a better sense on when to hold and when to fold.

First day plugging those MAE/MFE numbers in my trades and they told me how much of an idiot I was today, but I can really see MFEs being useful if I collect enough of them, especially measured against the % deviation.

I took TOL/BLD at market close, quite like this pair, could have gone BLD/TOL last week but missed my entry.

 

[skc]

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

That's what "know your stock well" is all about.

BLD issued a trading update today. I am not 100% what to make of it (and the market didn't know either). I had long BLD against short GWA which I closed today. I managed to get an average price of $4.76 for BLD which wasn't that bad compared to the VWAP of $4.719 by the end of the day. I could have had better exit in the morning spike but the GWA short was too thin and I wanted to exit both legs in a pretty even manner. Oh well, still a profitable trade.

 

[skc]

First day plugging those MAE/MFE numbers in my trades and they told me how much of an idiot I was today, but I can really see MFEs being useful if I collect enough of them, especially measured against the % deviation.

Remember your MAE/MFE is calculated on "touch" while your actual P&L is measured on "fill". So depending on your size and the sort of stocks (and their bid/ask spread) you trade, you are not expected to get the exact MAE/MFE.

 

[SilverRanger]

I'm still in my CRZ/IRE and now slightly in the red, not too worried as this point

CRZ /IRE closed, quite happy with today's gain. JBH today was quite interesting, giving up a good chunk of yesterday's gain, wished I had the guts to reverse my JBH/HVN yesterday!

 

[skc]

I am so glad that I didn't put on that long MYR short DJS trade. That will get blown out of the water tomorrow.

Got out of my DJS short on tuesday (for a profit too )

Excellent timing. Do you use a timing method V.S or was it the patterns that made you take profit?

When and why did you short...same question as to why you closed the position.

Sorry, should have been more clear. I was commenting in reply to SKC's post about avoiding the pair trade involving long MYR and short DJS.
I was in a pair involving long PMV short DJS.
Entry and exit was as per normal pairs trading (fundamental correlation and statistical divergence).

I have moved these here so as not to clutter up DJS' thread.

Sometimes thing just sort of work out in your favour. Avoiding a loss is as good as any win. Since TRS and SUL trading update I have not put on any pairs in the retail sector due to the risks involved.

I was long TWE about 2 weeks ago so dodged a big one there as well.

 

[SilverRanger]

I have moved these here so as not to clutter up DJS' thread.

Sometimes thing just sort of work out in your favour. Avoiding a loss is as good as any win. Since TRS and SUL trading update I have not put on any pairs in the retail sector due to the risks involved.

I was long TWE about 2 weeks ago so dodged a big one there as well.

I closed MYR/DJS on Tuesday as well, but now I'm actually tempted to go back in, after all it's a deal they knocked down 2 months ago, and nothing is on the table now. It sort of reminds me of the DJS hoax too, which I was unlucky to be sitting on it and closed at a huge loss, only to see it bounced back the day after.

 

[skc]

I closed MYR/DJS on Tuesday as well, but now I'm actually tempted to go back in, after all it's a deal they knocked down 2 months ago, and nothing is on the table now. It sort of reminds me of the DJS hoax too, which I was unlucky to be sitting on it and closed at a huge loss, only to see it bounced back the day after.

That really sucked... to take a loss on a hoax.

Although I think the situation is a bit different here.

 

[VSntchr]

What also sucked was my trading today!!

Got half a fill at 6.84 on the close of my TCL short...then it decided to run back up and sit there all day...closed the rest out on the closing-auction for avg 6.89

Was within a tick of closing CRZ/AHE this morning, then it flipped and now its -3.5%
and same again with MTU/IIN..so close, then diverges again!


Rant over for the day and can't complain because I'm in the green for the week.

 

[SilverRanger]

That really sucked... to take a loss on a hoax.

Although I think the situation is a bit different here.

Ok, so I took HVN/DJS at market close just to see the flop, but did so with half my normal position size. If it's not looking good early next week, I fold.

What also sucked was my trading today!!

Got half a fill at 6.84 on the close of my TCL short...then it decided to run back up and sit there all day...closed the rest out on the closing-auction for avg 6.89

Was within a tick of closing CRZ/AHE this morning, then it flipped and now its -3.5%
and same again with MTU/IIN..so close, then diverges again!


Rant over for the day and can't complain because I'm in the green for the week.

I can rant on those every day, especially with the MFE numbers I get. And yes, the week has been good, actually, the whole January was good

 

[VSntchr]

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

Well that is paying off for you today, TPM falling fast!

 

[skc]

Well that is paying off for you today, TPM falling fast!

Already closed it last week

This caused it...

http://www.afr.com/p/business/companies/tpg_share_price_slips_pc_iD7Krk7oELYG2VtQ4yJxLO

TPG Telecom’s share price has fallen over 5 per cent on Tuesday morning after Communications Minister Malcolm Turnbull said he was undecided on the legality of the company’s plan to build a rival to the national broadband network.

 

[VSntchr]

Ended up taking the loss on IIN/MTU...only cost me 1.5% and the MAE was around 4% so I considering it a decent exit.

Hopped on to APN/FXJ this afternoon... my system has it at -3.06 SD so hoping for a decent trade here...APN is pretty thin these days and I haven't traded either of these stocks before so leg size is low.

Tried to pair two goldies today; RSG/EVN - was looking good at 0.51 fill for RSG and then the price moved up with me left second in queue...whilst I got a half fill on EVN at 0.655 and then the price dropped to 0.64. Closed off the EVN for a small profit as I don't want to take the risk of holding anything overnight that isnt direction neutral at the moment!

Have a couple of trades I'd like to get out of this week, don't want to push it to close to reporting dates....I am already far too close with FOX - which reports this friday

 

[SilverRanger]

Ended up taking the loss on IIN/MTU...only cost me 1.5% and the MAE was around 4% so I considering it a decent exit.

Hopped on to APN/FXJ this afternoon... my system has it at -3.06 SD so hoping for a decent trade here...APN is pretty thin these days and I haven't traded either of these stocks before so leg size is low.

I tried to get into APN/FXJ today as well, but only managed to fill 20% on APN before FXJ turning south, closed APN at break even, quite disappointing on an otherwise very good pair.

 

[VSntchr]

Managed to squeeze out of APN/FXJ yesterday....I really didn't like the look of APN...could be a decent re-entry now that its close to the 40c level...

Might just see how it plays out for a while

 

[skc]

I hope no one got caught shorting AUT... that would have been VERY nasty.

 

[SilverRanger]

Managed to squeeze out of APN/FXJ yesterday....I really didn't like the look of APN...could be a decent re-entry now that its close to the 40c level...

Might just see how it plays out for a while

For a loss? I got in at 0.415 yesterday but is under water thanks to FXJ short.

I hope no one got caught shorting AUT... that would have been VERY nasty.

I actually got a signal to go long on AUT yesterday, but didn't take it

 

[VSntchr]

For a loss? I got in at 0.415 yesterday but is under water thanks to FXJ short.

Yeah small loss.

Couldn't resist myself and got back in at 0.41 and 0.675...the divergence is pretty big, hope its not luring me in with false hopes!

Not a great week for me, PBG just wont stop going up ~1.5% each day

I'm not taking many signals now due to reporting season but I managed to get into DLX/JHX as they are on a different cycle. That said, JHX will put out a qrtly towards the end of Feb, but I'm comfortable with that.

On a side-note, do you guys do much directional trading whilst the pairs are slow around reporting time? I've been taking a few small positions when stocks I know well have reported..

 

[SilverRanger]

Yeah small loss.

Couldn't resist myself and got back in at 0.41 and 0.675...the divergence is pretty big, hope its not luring me in with false hopes!

Not a great week for me, PBG just wont stop going up ~1.5% each day

I'm not taking many signals now due to reporting season but I managed to get into DLX/JHX as they are on a different cycle. That said, JHX will put out a qrtly towards the end of Feb, but I'm comfortable with that.

On a side-note, do you guys do much directional trading whilst the pairs are slow around reporting time? I've been taking a few small positions when stocks I know well have reported..

No, I don't do much around reporting period, but I am trading HKE stocks too, their reporting are pretty much done