ASX Stock Pairs Trade Journal

[skc]

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.

I'd focus the adjustment on not openning too early.

The strategy is "short volatility". When you have lots of pairs on and volatility blows out on you it's not a good thing. I have been doing a bit more scaling in. Just enough of a position to get started and keep a close watch, if it diverges more than put more on. Subjected to overall position sizing limits of course.

 

[VSntchr]

I'd focus the adjustment on not openning too early.

The strategy is "short volatility". When you have lots of pairs on and volatility blows out on you it's not a good thing. I have been doing a bit more scaling in. Just enough of a position to get started and keep a close watch, if it diverges more than put more on. Subjected to overall position sizing limits of course.

Good advice. Now that I have bigger positions and no min. brokerage, this is much more achievable to do.


You still in STO? Ive got STO/WPL approaching time-stop and today has just made me

 

[skc]

You still in STO? Ive got STO/WPL approaching time-stop and today has just made me

Not really. I had STO paired with ORG so they pretty much fell in line. Closed them over the last few days for a lost nontheless.

STO's quarterly coming out this Friday so there's a hard stop for you.

 

[VSntchr]

STO's quarterly coming out this Friday so there's a hard stop for you.

Pretty sure WPL is tomorrow too, so was hoping for a close today...!

 

[Bsim]

Hello all,

I have been using the PTF software for the past few months with reasonable success however I haven't been able to find a way to get a live data feed for the ASX and as a result am missing a fair few good trades. Is anyone able to tell me how I can do this?

I have access to Web IRESS and other live platforms but can't work out a way to get PTF to source data from them instead of Yahoo?

Any help would be greatly appreciated,

Thanks,

 

[VSntchr]

Hello all,

I have been using the PTF software for the past few months with reasonable success however I haven't been able to find a way to get a live data feed for the ASX and as a result am missing a fair few good trades. Is anyone able to tell me how I can do this?

I have access to Web IRESS and other live platforms but can't work out a way to get PTF to source data from them instead of Yahoo?

Any help would be greatly appreciated,

Thanks,

If you figure it out, be sure to let me know

 

[skc]

Hello all,

I have been using the PTF software for the past few months with reasonable success however I haven't been able to find a way to get a live data feed for the ASX and as a result am missing a fair few good trades. Is anyone able to tell me how I can do this?

I have access to Web IRESS and other live platforms but can't work out a way to get PTF to source data from them instead of Yahoo?

Any help would be greatly appreciated,

Thanks,

You can use Excel export function in PTF, reverse engineer the "Home" page calculations and use WebIress RTD (real time data) streams to populate the prices in Excel, and calculate the divergence in real time.

The calculations will not be 100% accurate (depending on the magnitude of the standard deviation) but it's good enough.

Whilst it's good to get real time data, I find it not to be a huge detriment because the first signal is rarely snaps back without the pair going into loss to start with (except for large spikes which would be hard to catch even if you are watching). Sometimes waiting a bit can offer better entry.

 

[VSntchr]

Sometimes waiting a bit can offer better entry.

I hit signals instantly probably about 10% of the time, 40% I hit the same day but wait for a good entry...the other 50% I hold off till the next day or even longer depending on a number of factors...
So I definitely agree here.

By the way, I just pulled those %'s out of the air, not actually tracking that metric

 

[SilverRanger]

Sometimes waiting a bit can offer better entry.

What about any specific time of the day? I'm starting to observe that on average, I tend to get the better entries near or during market close, maybe I should have just turn this into an EOD system!

 

[skc]

What about any specific time of the day? I'm starting to observe that on average, I tend to get the better entries near or during market close, maybe I should have just turn this into an EOD system!

In general, mornings tend to be quick thin and hence more wild. Around lunch it's boring as and you can sit in the queue for ages and get nothing filled unless you cross the spread. In the afternoon before close, stocks can either continue or reverse the morning's trend... so I don't have a strong bias one way or another.

 

[SilverRanger]

In general, mornings tend to be quick thin and hence more wild. Around lunch it's boring as and you can sit in the queue for ages and get nothing filled unless you cross the spread. In the afternoon before close, stocks can either continue or reverse the morning's trend... so I don't have a strong bias one way or another.

Yes, it is the morning wildness that's eating my P&L, quite often I see signals in the morning and take them. While there are some very quick wins which I can literally close them on the same day, but more often than not I see the diversion going a little further in the afternoon and gives an even better entry signal (it means me going into the red), I see the same thing with the exits as well.

For that reason I'm starting to trade more in the afternoon, mainly just picking the ones which continued the morning trend like you said.

 

[skc]

For that reason I'm starting to trade more in the afternoon, mainly just picking the ones which continued the morning trend like you said.

Same here but to me it's more to do with better depth. Take something like AIO, in the morning there could be <10k per side while in the afternoon there could be 50-100k at each price level. You definitely won't need to worry about moving the market...

 

[VSntchr]

CFX (NVN), FDC (FDCDA) and DXS (DXSDA)
Three of my usual suspects all deciding that they don't want to be traded for the next month
I could use excel I guess, or perhaps I should use this as a catalyst to widen my scope.

As for DXS, hopefully the higher SP results in better execution in the future!

 

[skc]

CFX (NVN), FDC (FDCDA) and DXS (DXSDA)
Three of my usual suspects all deciding that they don't want to be traded for the next month
I could use excel I guess, or perhaps I should use this as a catalyst to widen my scope.

As for DXS, hopefully the higher SP results in better execution in the future!

I think all companies >$1B should consolidate their shares to a share price >$5.

 

[VSntchr]

I think all companies >$1B should consolidate their shares to a share price >$5.

+1.

In application there would need to be some additional conditions around this, such as consolidation occurs every 24 months and share has to have been under the threshhold level for at least 12 months..or something similar. Also, it would help if new listings for $1B+ (I say even $500m+) were at $5+. Obviously this idea isn't in the minds of others, as we prepare for one of our biggest ever floats to be priced at a whopping $2!

Some of the other markets in Europe and the US that I have taken a peek at, seem to have much higher denominations...perhaps I'll make the jump to Spain and start living cheaply and trading the FTSE reits

 

[History Repeats]

you guys using cointegration to find pairs?

 

[VSntchr]

you guys using cointegration to find pairs?

Personally I do not use it specifically as a trade filter, but I would think that some people on ASF would.
Do you trade pairs? How do you find trades?



How are the ASF pairs traders going lately? I had a pretty good run towards the end of October, but November is proving very difficult. Not that I have any big losers, but just that good trades seem hard to come by. The targets are small and quite a few times I've had trades get close to target..before reversing and diverging again...leaving me quite frustrated!
Patience is key in times like this..

 

[skc]

How are the ASF pairs traders going lately? I had a pretty good run towards the end of October, but November is proving very difficult. Not that I have any big losers, but just that good trades seem hard to come by. The targets are small and quite a few times I've had trades get close to target..before reversing and diverging again...leaving me quite frustrated!
Patience is key in times like this..

Yes October was very good with heaps of trade. Nov has so far continued the trend although trade activities have died down a lot. I did have a bad loss in STO/WPL thanks to the ever falling oil price... having closed it to day it makes me feel better but I am sure WPL will launch a takeover offer for STO tomorrow!

 

[SilverRanger]

Yes October was very good with heaps of trade. Nov has so far continued the trend although trade activities have died down a lot. I did have a bad loss in STO/WPL thanks to the ever falling oil price... having closed it to day it makes me feel better but I am sure WPL will launch a takeover offer for STO tomorrow!

I knew it! I knew that would happen since ___ years ago when I was still young

Looks like October was a good month for us all, Nov I'm out of action due to a long needed holiday. While travelling what came to my mind is that it's quite feasible to trade the ASX while living in another country, especially in Asia, it's only a 7 to 1 shift and I can be off to enjoy the cheap eats and great night life.

 

[VSntchr]

While travelling what came to my mind is that it's quite feasible to trade the ASX while living in another country, especially in Asia, it's only a 7 to 1 shift and I can be off to enjoy the cheap eats and great night life.

I did it from Singapore for a week while I was there. Was only at about 60% workload as I was just taking the most obvious trades and managing existing ones - no research or other work..but totally agree that it's do-able.

Perhaps a Tim Ferris inspired 4-hour work week would fit this business well. I think there is a term like "geographical arbitrage" where you sell your product skill where it can fetch the most money, while drawing your supplies from the cheapest location and then also living somewhere cheap. For memory the example in the book I am referring to was to sell clothes in America by importing from China all the while living in Mexico.