ASX Stock Pairs Trade Journal

[skc]

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.

I have a spare USb mouse plugged in at all times.

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.

Yes LLC has been a shocker for me as well. It has outperformed by about 5-6% against every single peer. I also had CWN/EGP doing me in for the last week.

I am looking at a negative month unless I hit a couple of sixes next week.

 

[VSntchr]

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.

I have a spare USb mouse plugged in at all times.

Yes LLC has been a shocker for me as well. It has outperformed by about 5-6% against every single peer. I also had CWN/EGP doing me in for the last week.

I am looking at a negative month unless I hit a couple of sixes next week.

I didnt take either of those trades, but I had my a** handed to me with FXJ/APN...and MQA/QUB wasn't great either. Have been negative all month until recently where I've had a good run and am back in the green. The market has certainly been volatile but it has been pretty mean too! I might finish at +1% for the month...

 

[skc]

I didnt take either of those trades, but I had my a** handed to me with FXJ/APN...and MQA/QUB wasn't great either. Have been negative all month until recently where I've had a good run and am back in the green. The market has certainly been volatile but it has been pretty mean too! I might finish at +1% for the month...

I got out of FXJ/APN some time ago. APN is a bit too thin for me on most days. And both FXJ's and APN's chart looks sacry... FXJ breaking up and APN breaking down.

I didn't touch MQA because it was going ex-div and had a few funny announcements (like their Indiana toll road SPC filing chapter 11), but I did short QUB against BXB and had a win there.

The market has been volative which should have meant better pairs trading conditions. But perhaps it's been too long since we have had a correction (probably Jan 2014) and I've forgotten how to trade the volatility. My size are much bigger now so staring some larger adverse excursions is something I need to train my mind to accept.

Keep Calm and Keep Trading!

 

[VSntchr]

I got out of FXJ/APN some time ago. APN is a bit too thin for me on most days. And both FXJ's and APN's chart looks sacry... FXJ breaking up and APN breaking down.

You know, while I was exiting APN I came to the same conclusion...it really struggles to trade for most of the session...my size still gets filled easily...but it can sit there for a long time unless I want to push it. I will probably not touch it again for a while.

I didn't touch MQA because it was going ex-div and had a few funny announcements (like their Indiana toll road SPC filing chapter 11), but I did short QUB against BXB and had a win there.

Nice!

The market has been volative which should have meant better pairs trading conditions. But perhaps it's been too long since we have had a correction (probably Jan 2014) and I've forgotten how to trade the volatility. My size are much bigger now so staring some larger adverse excursions is something I need to train my mind to accept.
Keep Calm and Keep Trading!

Well I've been learning in tranquil conditions so I am being pretty conservative as we enter the storm...I need to see first hand what kind of damage can really be done
And as for size, I too have been looking at some bigger $ PnL swings...not in the league I imagine you are talking about given your experience and the prop factor..but still 3x what I started with, so have been learning a lot very quickly.

Good luck with the rest of the month

 

[edman79]

Perhaps if you could show me how to backup the database I could then do a complete wipe: PTF and other relevant software?

>open SSMS
>connect (using windows authentication)
>expand Databases (top left)
>right click on pairtradefinder > tasks > Backup > browse to file location.

To restore same process...
>right click on pairtradefinder > tasks > Restore > database
>select "from device" radio button
>Browse to backup file you generated - see above.
>check the backup to restore
>go to "options" at the top left and check "overwrite the existing database"

I do a backup at the end of each day. If there is ever a problem I just restore yesterdays copy.

 

[VSntchr]

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.

>open SSMS
>connect (using windows authentication)
>expand Databases (top left)
>right click on pairtradefinder > tasks > Backup > browse to file location.

To restore same process...
>right click on pairtradefinder > tasks > Restore > database
>select "from device" radio button
>Browse to backup file you generated - see above.
>check the backup to restore
>go to "options" at the top left and check "overwrite the existing database"

I do a backup at the end of each day. If there is ever a problem I just restore yesterdays copy.

Thanks guys/
Did a complete PTF wipe, and SQL wipe...managed to retain the database though thanks to your combined intellect.

Problem has been solved! and now Im running the 3.22v which doesn't seem any different but good to be up to date I guess..

 

[skc]

Good luck with the rest of the month

Keep Calm and Keep Trading!

My account P&L for the month. Just scraped in to the green... enough to buy a donut or two. :bad:



It does look like a tight triangle about to breakout anytime

Yes, there are technical patterns in equity curve.

>open SSMS...

Edman, how good is it to have you around?!

 

[VSntchr]

It does look like a tight triangle about to breakout anytime
Yes, there are technical patterns in equity curve.

I think it was TH that had a blog post about equity curve patterns and how he monitored them to get an idea of what was going on (sorry if it wasn't you TH - I can't exactly recall where I saw this), I thought it was very interesting.

Edman, how good is it to have you around?!

Edman might not have many posts, but I reckon he has used a pretty decent percentage of them in helping me...I owe you a beer/coffee/one of SKC's donuts.


I managed to hit the green a bit earlier in the month, but the scale wasn't great for me either...so perhaps only a box of donuts at best! This pnl includes some directional trading too, singling out the pairs results looks a little better. I really need to work on directional trading, specifically stop placement - missed a great run on TPM after being stopped out pretty much on the low just before the take-off. Also missed extra profit on JBH short, don't know how I managed to f** that stop up , anyway thats off topic from pairs!

 

[edman79]

Edman, how good is it to have you around?!

Edman might not have many posts, but I reckon he has used a pretty decent percentage of them in helping me...I owe you a beer/coffee/one of SKC's donuts.

 

[skc]

I think it was TH that had a blog post about equity curve patterns and how he monitored them to get an idea of what was going on (sorry if it wasn't you TH - I can't exactly recall where I saw this), I thought it was very interesting.

Now that you've mentioned it... yes I did steal it from him, internalised it and thought it was my own idea

Nonetheless, I think he stole it from the random walk theory... where you can create share price charts look-alikes from just about any random observations.

 

[VSntchr]

Question guys:
When you are entering a trade through the closing auction, what are your thoughts around order placement. Do you place an order deep into the money to ensure you get a fill on both legs - at the risk of getting a crappy price if it shifts in the last few seconds. Or do you prefer to set orders at the level which you will be happy to pay and risk missing the fill on one/both legs.

It's something I really need to improve with my trading as I have just missed one leg in a trade for the second time in 2 weeks and go into tomorrows trading NAKED. Thankfully it's a REIT trade so should the stock I missed not co-operate on the open I may have another few to choose from.

 

[skc]

Question guys:
When you are entering a trade through the closing auction, what are your thoughts around order placement. Do you place an order deep into the money to ensure you get a fill on both legs - at the risk of getting a crappy price if it shifts in the last few seconds. Or do you prefer to set orders at the level which you will be happy to pay and risk missing the fill on one/both legs.

It's something I really need to improve with my trading as I have just missed one leg in a trade for the second time in 2 weeks and go into tomorrows trading NAKED. Thankfully it's a REIT trade so should the stock I missed not co-operate on the open I may have another few to choose from.

A good question. Here are a few things that I do.
- If you have one leg open and waiting for a fill on another leg, and it's approaching closing time, consider entering half the size by crossing the spread, and leave the other half to the random closing price.
- Or, if you have one leg open and have several alternatives for the opposing leg, then keep your eyes peeled on those few names. You might even just scratch the open leg and try again tomorrow.
- If you want a fill, go far out to ensure you get filled. Of course this assumes there's enough liquidity so you are not the one moving the price to your own detriment.
- If you are unsure you want a fill (e.g. you will only open both legs if the match price is favourable), then you have little choice but to keep your finger on the delete key and take the orders out if the match doesn't look like a goer. I'd still use a deep order in this case.
- Avoid doing more than 3-4 trades at the close to stay under control.
- Personally I avoid being naked overnight the best I can.

Ideally, you'd write an algo such that the orders will be adjusted automatically and executed in the match, as long as the ratio of the match prices fit your defined criteria. But I am not sure such a thing exists.

 

[SilverRanger]

Question guys:
When you are entering a trade through the closing auction, what are your thoughts around order placement. Do you place an order deep into the money to ensure you get a fill on both legs - at the risk of getting a crappy price if it shifts in the last few seconds. Or do you prefer to set orders at the level which you will be happy to pay and risk missing the fill on one/both legs.

It's something I really need to improve with my trading as I have just missed one leg in a trade for the second time in 2 weeks and go into tomorrows trading NAKED. Thankfully it's a REIT trade so should the stock I missed not co-operate on the open I may have another few to choose from.

Generally if I need to open a long leg on a strong stock or short a weak one, then I would consider doing it before the close, but most of the time it's the opposite so I don't mind going to the close with a deep order. Obviously if things aren't looking good then I would pull out and try again the next day.

I would prefer hedging against the index than going naked any day

 

[VSntchr]

Thanks for the responses guys. Top quality as usual.

Well, with the DOW down 240pt it's not a good day to be naked, well I do have SHORTS on..lol.
Let's see how this plays out..

 

[VSntchr]

Managed to save myself and got a different short, just closed the trade and managed 0.9%. Lucky to get out with a small profit considering the way things panned out...


Bloody BAML upgrading GMG...grrrrr not helping my MGR/GMG trade.
GMG has the lowest yield of all the REITS, I know it's got global exposure and decent growth compared to some of the other REITS, but I really didn't think it would push back up this hard in the current environemnt...

 

[skc]

Bloody BAML upgrading GMG...grrrrr not helping my MGR/GMG trade.
GMG has the lowest yield of all the REITS, I know it's got global exposure and decent growth compared to some of the other REITS, but I really didn't think it would push back up this hard in the current environemnt...

Lol. I've got the GMG short against another REIT as well. Was tempted to close it on open but the volume just wasn't there. Will just have to wait for it to mean reverse... which is the name of the game.

The premise of the upgrade was bs imo. It's yielding 3.9% vs say 6% with SGP. GMG's only growing at 6-7% per year so it'd take 7 years of growth at that pace to arrive at the same distribution as other listed alternatives. And a bloody lot can happen in 7 years!

 

[VSntchr]

The premise of the upgrade was bs imo. It's yielding 3.9% vs say 6% with SGP. GMG's only growing at 6-7% per year so it'd take 7 years of growth at that pace to arrive at the same distribution as other listed alternatives. And a bloody lot can happen in 7 years!

I agree. Lets hope its a pump and.....

It's even out of whack with WFD, so it's more than just the global exposure pushing this one...

 

[VSntchr]

What a day!
Closed 3 trades and opened 3 today. Pretty busy considering my usual strike rate.

GMG is still causing me a pain! Looked like short covering this morning (it seems I should have joined them), but it showed strength not to fade like some others did late.

Building Materials had some good opp's today..GWA spiked up hard on an upgrade based on yesterdays restructure announcement...this led to some disjointed rises with ABC following and CSR + FBU a little later to the party. BLD and JHX didn't move much so it seems the US exposure wasn't in favour today...

 

[skc]

What a day!
Closed 3 trades and opened 3 today. Pretty busy considering my usual strike rate.

GMG is still causing me a pain! Looked like short covering this morning (it seems I should have joined them), but it showed strength not to fade like some others did late.

Building Materials had some good opp's today..GWA spiked up hard on an upgrade based on yesterdays restructure announcement...this led to some disjointed rises with ABC following and CSR + FBU a little later to the party. BLD and JHX didn't move much so it seems the US exposure wasn't in favour today...

Yes... last few days have been pretty wild. GMG definitely causing me pain. Also STO is refusing to move up even today. Made good money on MGR/SCG. LLC has been remarkably strong but I shorted it today as a pair with WFD. Also half opened BLD/FBU and day traded CSR/ABC.

I hope this kind of condition remains for some time. It was truely getting too calm and margin getting too thin in the last 8 months.

 

[VSntchr]

I hope this kind of condition remains for some time. It was truely getting too calm and margin getting too thin in the last 8 months.

Yeah, it was getting very scalpy....so many of my trades were very tight. Frustrating to get a period of activity and close some trades - thinking it was a good close, then seeing the reversion go..and go..and go.
If the conditions stay this way for a while then that's an adjustment I need to focus on, not closing too early. I guess for me right now it's a balancing act between adjusting to new conditions but at the same time remembering that the conditions can change at any moment.