ASX Stock Pairs Trade Journal

[nulla nulla]

I didn't resist, got in with the week's underperformer, SCP. My tea leaf reading skill tells me there couldn't be too much excitement in MGR compared to likes of GPT and DXS, given its 60% asset share in the office sector, so hopefully safe to short before earnings...

Do you have a predetermined exit price for scp?

 

[SilverRanger]

Do you have a predetermined exit price for scp?

Not in absolute term, but relative to MGR - either I make enough or lose enough as a pair, plus a time-based exit, before 21 Aug. Btw great work on your A-REIT valuation model thread, are you trading A-REIT for a living?

 

[nulla nulla]

Not in absolute term, but relative to MGR - either I make enough or lose enough as a pair, plus a time-based exit, before 21 Aug. Btw great work on your A-REIT valuation model thread, are you trading A-REIT for a living?

Thankyou. Trading for a living but not just A-REIT's.

 

[SilverRanger]

Closed SCP/MGR today for a small profit, not holding to MGR reporting

This officially marks the official start of my trading break

 

[VSntchr]

Closed SCP/MGR today for a small profit, not holding to MGR reporting

This officially marks the official start of my trading break

Nice to squeeze a profit there, MGR rising has been relentless....!

Do you do any other trading while you pause the pairs?

 

[SilverRanger]

Nice to squeeze a profit there, MGR rising has been relentless....!

Do you do any other trading while you pause the pairs?

No, pairs trading is pretty much all I can do part time

It's probably a good time to take a break and refresh your pairs. E.g. HSO, sounds good to go with RHC and SHL, although I haven't yet find a broker that will let me go short on it (and PGH, SCG and DSH for that matter)

 

[VSntchr]

Gotta love the first signal I look at since reporting season...


Waiting for another week for correlations to form though

 

[SilverRanger]

Gotta love the first signal I look at since reporting season...
View attachment 59256

Waiting for another week for correlations to form though

Nice chart you got there!
Probably from AREIT if I have to guess?

 

[VSntchr]

Nice chart you got there!
Probably from AREIT if I have to guess?

YEP, I can't recall the pair but it was one of them..!

Lots of opportunities with the A-REITS have popped up over the last week...

I am getting slightly spanked (since when is that a bad thing ) by a few other pairs, big % open losses but smaller leg sizes due to the volatility. FXJ/APN is one of them - a pair that is historically successful for me, yet manages to get me at some point during every trade!! It seems each time I trade it, I give it more room for divergence before entry..but each subsequent occasion it pushes further than I expect...the ratio is now below 1.0 and correlation has really broken down.

 

[skc]

Lots of opportunities with the A-REITS have popped up over the last week...

The REITs are pretty weak at the moment... and I think one has to be a bit more careful with REIT pairs for the next few weeks. They are still moving as a cohert, but their individual yield, payout ratio and dividend growth potential will increasingly separate their performance... even more so than before.

 

[VSntchr]

The REITs are pretty weak at the moment... and I think one has to be a bit more careful with REIT pairs for the next few weeks. They are still moving as a cohert, but their individual yield, payout ratio and dividend growth potential will increasingly separate their performance... even more so than before.

Is your expectation of increased market reliance on these metrics a function of a flight to safety when the sector is weak? Or moreso simply just a continuation of the search for yield?

As an aside, some of the stocks that have long been running on takeover spec have been getting hit a bit harder recently, presumably since Simon Capital dampened the hopes of many..

 

[skc]

Is your expectation of increased market reliance on these metrics a function of a flight to safety when the sector is weak? Or moreso simply just a continuation of the search for yield?

It's the discontinuation in the search for yield. The speed of abandonment will vary by those metrics.

I'd argue there's probably some macro trade there in going long something that yields 6-7% (like SGP) and shorting something that yields 4-5% (like GMG). But that's a game of very different timeframe and risks.

 

[VSntchr]

It's the discontinuation in the search for yield. The speed of abandonment will vary by those metrics.

Got it.

I'd argue there's probably some macro trade there in going long something that yields 6-7% (like SGP) and shorting something that yields 4-5% (like GMG). But that's a game of very different time-frame and risks.

I often play around with the thought of running a separate portfolio of pairs with a time-frame spanning weeks/months instead of <20 days..haven't pursued this yet but perhaps will look into it in the near future.

 

[skc]

I often play around with the thought of running a separate portfolio of pairs with a time-frame spanning weeks/months instead of <20 days..haven't pursued this yet but perhaps will look into it in the near future.

Same here and probably a multi-sector market neutral strategy of some description. Long yield stocks and short mining services would have worked a treat since 2013. Long consumer stables and short discretionary would also do quite well.

However, I don't think it will be the most capital efficient for a retail trader. With longer timeframes involved you can't avoid stock specific issues (e.g. guidance up/downgrades) as easily... so you have to diversify and keep each position relatively small. You probably need to long 20 stocks and short 20 stocks at the same time to make it work.

The exit will also need to be further considered. With statistical stuff the exit signal is clear and unambiguous. With the longer timeframe approach you'd want to develop something that has the same property... May be a time based exit would be most appropriate?

Here's a mob selling managed accounts using a market neutral strategy. I don't know if they are legit or otherwise... Their strategy on paper sounds logical, but I can't tell if they can achieve what they want to achieve.
https://www.aussiestockforums.com/forums/showthread.php?t=28777&p=835276#post835276

 

[VSntchr]

Yep...its one of those mornings. First PTF was dragging my PC hard this morning, so I did some system maintennance...(which means deleting temp files and cleaning up a bit )....then once I restarted the system I get this error log...

Oh and the battery for my mouse died at 9:58...woohoooo! :1zhelp:


Anyone had this error before? So far I have tried reinstalling Visual C++..
I have SQL Server manager but I'm not really sure what to do with it or if it will help!

 

[skc]

then once I restarted the system I get this error log...

No sorry haven't seen this before.

Oh and the battery for my mouse died at 9:58...woohoooo! :1zhelp:

Replace new battery.

Yep...its one of those mornings. First PTF was dragging my PC hard this morning, so I did some system maintennance...(which means deleting temp files and cleaning up a bit )....

Buy more RAM. Clean out dust in box.

There you go. Solved 66.67% of your problems

 

[edman79]

View attachment 59572

then once I restarted the system I get this error log...

Anyone had this error before? So far I have tried reinstalling Visual C++..
I have SQL Server manager but I'm not really sure what to do with it or if it will help!

When you say restarted the system, are you talking about windows or PTF?

If its PTF, have you tried a re-install?
If you don't want to lose your current pairs you need to back up your database (I know this is help after the fact). Takes about 10 seconds. I can walk you through a backup using SSMS - just ask.

 

[VSntchr]

No sorry haven't seen this before.

Replace new battery.

Buy more RAM. Clean out dust in box.

There you go. Solved 66.67% of your problems

Thanks lol....didn't have any spare batteries so I had to use one from the TV remote...guess my redundancy planning, or lack thereof, needs serious work.

When you say restarted the system, are you talking about windows or PTF?

If its PTF, have you tried a re-install?
If you don't want to lose your current pairs you need to back up your database (I know this is help after the fact). Takes about 10 seconds. I can walk you through a backup using SSMS - just ask.

Okay, here is the weird thing. When I uninstall PTF and then reinstall..I don't seem to lose my pairs!?
So yeah I have tried a system restore, PTF reinstall and still getting the problem...
Perhaps if you could show me how to backup the database I could then do a complete wipe: PTF and other relevant software?

 

[SilverRanger]

Thanks lol....didn't have any spare batteries so I had to use one from the TV remote...guess my redundancy planning, or lack thereof, needs serious work.



Okay, here is the weird thing. When I uninstall PTF and then reinstall..I don't seem to lose my pairs!?
So yeah I have tried a system restore, PTF reinstall and still getting the problem...
Perhaps if you could show me how to backup the database I could then do a complete wipe: PTF and other relevant software?

When you specify the location of your database for PTF initially, two files get created: pairTradeFinder.ldf & pairTradeFinder.mdf. These files contain the your pairs information. If you take a backup of them, then next time when reinstalling PTF you can overwrite the new files created using the backed up files. That way you get all your pairs back. You may get a file-in-use error when you try to do that, then simply restart your PC so that neither PTF or Microsoft SQL are using them. I've done that a couple of times before when moving things to my new desktop.

 

[SilverRanger]

Btw how's everyone doing in September? I dug myself a massive hole in the first half of the month shorting LLC. I recovered a bit in the last couple of days but still in the red, so my goal for the rest of the month is to break even.