ASX Stock Pairs Trade Journal

[VSntchr]

I got in again yesterday and saw the pair revert more than 1% intra-day then back to peanuts. I'm sure this is not the first time this happens. Tomorrow I will consider closing half when I make 1% and leave the other half for a meaningful reversion.

Happy days SR! I've got it at -0.2% diversion at the moment. That's more than a FULL reversion!

 

[skc]

Happy days SR! I've got it at -0.2% diversion at the moment. That's more than a FULL reversion!

Reverses without me

 

[VSntchr]

Reverses without me

Me too. I had orders in yesterday which wud have given me 3.6% in <24hrs..but i baulked over 1c on each side - thinking I'd get a better spread in the afternoon. My database has been relatively quiet this week, a few REIT signals and thats about it - hence I haven't been very active.

 

[SilverRanger]

Reverses without me

Me too. I had orders in yesterday which wud have given me 3.6% in <24hrs..but i baulked over 1c on each side - thinking I'd get a better spread in the afternoon. My database has been relatively quiet this week, a few REIT signals and thats about it - hence I haven't been very active.

It will come again, I promise

 

[VSntchr]

CMW ex-div 1.99c today and still managed to put on 0.9% for the day.
Maybe some traders forgot about the quarterly div schedule. I took a hedged short on the close for what I hope will be a quick trade. CAB also shook off their dividend pretty nicely after opening quite low...

I considered TGR/BGA after the TGR announcement but decided to wait - they still havent indicated (well, they have indicated that they don't know) what the government hopes to get from the enquiry. If I was an investor I wouldn't be too worried but as a short term trader it could still limit the immediate upside. One for the waiting list.

 

[VSntchr]

How is everyone doing with their pairs lately?

I was within 1c on either side of closing FDC/NVN for another round. Wish I nudged it because I could have re-opened again on close...instead I watched my position flip all the way from 93% of target to below zero!


I have noticed BWP and SCP are showing strength against the sector, have both of those short up against some others.

A recent lesson I have had to learn the hard way is not to be tempted into trading illiquid companies. I found a good signal with MYT and took it, without really studying how good the depth was.
I saw it on probably one of its more liquid days, took note of the $4bn+ market cap and thought it would be fine - rookie error and one I will not be repeating. Didn't end up costing me much, but it did teach me that ignoring liquidity can make for a very stressful holding/exit.

 

[skc]

How is everyone doing with their pairs lately?

March was my second highest P&L month but some of that was the result of good directional trading. There were no major ups or downs in the pairs, just steady.

I am dipping my toes back into gold stocks... just the large ones and certainly avoiding quarterly reports. Also, the media sector seems a bit more stable and tradable now. The age care sector is collecting quite a few participants. I am starting very small just see how they tick (and what ticks them). By the next reporting period they should be ripe for some good pairing.

Meanwhile, the iron ore sector is total no-go zone. The mining services also remain dangerous (either big downgrade or takeover - choose your poison). I haven't done a trade in the "stables" (WOW, WES, MTS, CCL) for some time which is quite unusual.

I have noticed BWP and SCP are showing strength against the sector, have both of those short up against some others.

Same here.

 

[SilverRanger]

How is everyone doing with their pairs lately?
I was within 1c on either side of closing FDC/NVN for another round. Wish I nudged it because I could have re-opened again on close...instead I watched my position flip all the way from 93% of target to below zero!

Yes, that was exactly why I went for the 1% in my last trade, but surely we will get another chance next week, right?

I am dipping my toes back into gold stocks... just the large ones and certainly avoiding quarterly reports. Also, the media sector seems a bit more stable and tradable now.

Goldies I'm sticking with NCM, NST, EVN and OGC only, got 3 out of 3 last month, but still hesitant to raise my half-size position on them.

Yes, media was good too, had FXJ/APN last week, and holding SEK/REA to close next week.

The age care sector is collecting quite a few participants. I am starting very small just see how they tick (and what ticks them). By the next reporting period they should be ripe for some good pairing.

I have recently added REG and EHE to my watchlist as well, but haven't got any signals yet, had a look at JHC too, but its volume is probably too thin for my liking.

Also new on my watchlist is SLF, and wished I have discovered it quicker, seems very handy to single out any out-performer/under-performer with this. The only downside is probably the fact that you need to rely on maker makers for its liquidity, and good luck trading it at market open/close!

 

[VSntchr]

March was my second highest P&L month but some of that was the result of good directional trading.

Nice! March was also good to me. My highest ever PnL both $ and % wise. However, similarly to you - this came as a result of some good directional trading. Kind of bittersweet as I find the most satisfying results come from pairs - but I am also happy to be making headway with my other systems.
Due to the small size I have been using, I think pairs only represented about 5% of my month, still struggling in this area but I have been making progress on identifying my errors.

There were no major ups or downs in the pairs, just steady.

I think you just described the perfect equity curve

I am dipping my toes back into gold stocks... just the large ones and certainly avoiding quarterly reports. Also, the media sector seems a bit more stable and tradable now. The age care sector is collecting quite a few participants. I am starting very small just see how they tick (and what ticks them). By the next reporting period they should be ripe for some good pairing.

For a while there, REIT's were >80% of the trades I was taking. It got to the point where I started to consider key customer (errr sector) risk. As you say, the market has certainly come to life in some other sectors. Some of the splurge of listings we have had over the past 18 months are starting to trickle through represent good pairs lists. Aged care is looking good and some other listings have joined established sectors such as packaging/staples, insurance etc..
I actually took my first pair with MPL recently, although it felt probably a bit early - still not sure that the price is correlating strongly yet due to the indexing influences that have played so heavy on the stock.

 

[VSntchr]

Yes, that was exactly why I went for the 1% in my last trade, but surely we will get another chance next week, right?

Surely we will get another 3 or so chances next week!

Goldies I'm sticking with NCM, NST, EVN and OGC only, got 3 out of 3 last month, but still hesitant to raise my half-size position on them.

Nice work. I did read a bit of chatter about EVN going on the hunt for deals, so perhaps something to keep in mind...

Yes, media was good too, had FXJ/APN last week, and holding SEK/REA to close next week.

I haven't touched FXJ/APN for a while after finding that I could never enter at the right time. Every time I entered it would be too early, even after knowing this was the case and waiting a little longer the next time round - it would still get me! Perhaps a change of parameters is needed for that pair. I've also never had much luck with the online lists, my experience is that they respond to macro news (interest rates, employment data etc) with varying degrees of intensity.

Also new on my watchlist is SLF, and wished I have discovered it quicker, seems very handy to single out any out-performer/under-performer with this. The only downside is probably the fact that you need to rely on maker makers for its liquidity, and good luck trading it at market open/close!

Nice pick up. I note alot of US traders a big on the ETF thing, whereas I haven't seen it used much over here for trading (I might just be under a rock though). I have been using the XPJ for my outperform/underperform benchmark - but this looks to be a bit better given the trade-ability

 

[skc]

For a while there, REIT's were >80% of the trades I was taking. It got to the point where I started to consider key customer (errr sector) risk. As you say, the market has certainly come to life in some other sectors. Some of the splurge of listings we have had over the past 18 months are starting to trickle through represent good pairs lists. Aged care is looking good and some other listings have joined established sectors such as packaging/staples, insurance etc..

ORA/PGH was a good pair until their recent report. And PGH doesn't quite have the aura of the likes of AMC and BXB yet.

I actually took my first pair with MPL recently, although it felt probably a bit early - still not sure that the price is correlating strongly yet due to the indexing influences that have played so heavy on the stock.

Agree. I'd give MPL some more time. NIB (NHF.ASX) is the most natural peer but their size differential is significant. If history is anything to go by, MPL as a government IPO should enjoy a strong run for the next 6-12 months (e.g. how QRN, now AZJ, got re-rated over time).

Also new on my watchlist is SLF, and wished I have discovered it quicker, seems very handy to single out any out-performer/under-performer with this. The only downside is probably the fact that you need to rely on maker makers for its liquidity, and good luck trading it at market open/close!

I didn't think you can short it? If so who with? I am a bit hesitate to use it as a long play, as it can be a bit slow to catch up if you are pairing with a short that's running away from you. Shorting it, however, would be ideal if the underperformance of the long leg is without merit. You also do away with takeover risk on the short side.

 

[SilverRanger]

I didn't think you can short it? If so who with? I am a bit hesitate to use it as a long play, as it can be a bit slow to catch up if you are pairing with a short that's running away from you. Shorting it, however, would be ideal if the underperformance of the long leg is without merit. You also do away with takeover risk on the short side.

Apparently you can with my trusty CFD broker (not mentioning names but it's a local DMA provider, wait, there's only 1!?), it probably depends on the prime broker they have.

In terms of trading it, yes definitely ideal to short as it removes the upside risk, but I would consider long as well if the back-test warrants it (from what I can see, there are a couple of pairs with 100% win rate)

 

[SilverRanger]

Missed the obvious (well, everything is obvious in hindsight) short on MIN last week, should have known better AGO's mothballing impact on its contractors!

 

[Newtotrading]

Hi Everyone,

Can someone tell me where I Can learn about pair trading, or point me in the right direction.

I would appreciate any imput.Thank you.

 

[VSntchr]

Hi Everyone,

Can someone tell me where I Can learn about pair trading, or point me in the right direction.

I would appreciate any imput.Thank you.

Ur in the right spot buddy!
This thread has a large number of informative posts...

 

[skc]

Apparently you can with my trusty CFD broker (not mentioning names but it's a local DMA provider, wait, there's only 1!?), it probably depends on the prime broker they have.

I guess I should ask again at this end...

Missed the obvious (well, everything is obvious in hindsight) short on MIN last week, should have known better AGO's mothballing impact on its contractors!

I didn't know MIN does anything with AGO... I knew MLD is the contractor, MCS the trucker. I shorted MLD when AGO first went into the halt... but it actually traded up today. It's only PE <4x so it's "priced in" I guess.

MIN was a good directional trade today, nonetheless. It was unwarrantedly (new word?) strong since the AGO announcement.

P.S. MIN announcement just out. Not material
P.S. I also shorted QUB since AGO. But again it said today immaterial impact for FY14 results. I wonder if the market should probably look a little bit beyond FY14 which only has 2 months left.

 

[VSntchr]

Now we say goodbye to SGT as they request a de-listing. My telco database is shrinking fast this year!

 

[SilverRanger]

Now we say goodbye to SGT as they request a de-listing. My telco database is shrinking fast this year!

Well, they are still tradable on the Singapore stock exchange

Hey, for AMM/VOC does anyone know whether the the merger ratio is actually adjusted? Reading from the Adjusted Merger Ratio section in the scheme booklet, the ratio may still stay the same since the dividend was well declared in advance. Thoughts?

if the record date for any dividend, distribution or return of capital that is recommended,
declared or paid by Amcom (other than any interim and/or special dividend
recommended, declared or paid by Amcom in the ordinary course of business agreed
between the parties) occurs on or after the date of this agreement but on or prior to the
Implementation Date, the number of New Vocus Shares determined in accordance with
the following formula (rounded down to 4 decimal places):
M = A ×B/C
where:
M = the Adjusted Merger Ratio;
A = the Initial Merger Ratio;
B = $2.45 less the amount per Scheme Share of any such dividend, distribution or
return of capital; and
C = $2.45,

 

[VSntchr]

Well, they are still tradable on the Singapore stock exchange

Hey, for AMM/VOC does anyone know whether the the merger ratio is actually adjusted? Reading from the Adjusted Merger Ratio section in the scheme booklet, the ratio may still stay the same since the dividend was well declared in advance. Thoughts?

From the letter released to shareholders in Feb

Consideration & Amcom Board Recommendation
Under the Scheme, Amcom shareholders will receive consideration of 0.4614 Vocus shares
for each Amcom share owned. The consideration will not be adjusted for Amcom’s 1H FY15
dividend (capped at 5 cents per share). Upon completion of the Scheme, Amcom
shareholders will own approximately 51.6% of the combined group.

 

[skc]

Well, they are still tradable on the Singapore stock exchange

Hey, for AMM/VOC does anyone know whether the the merger ratio is actually adjusted? Reading from the Adjusted Merger Ratio section in the scheme booklet, the ratio may still stay the same since the dividend was well declared in advance. Thoughts?

Not adjusted. Don't forget VOC ex-div on 2 Mar to 1.2c and 5.1c special div.

P.S. Had a pair shorting DXS... making it the 3rd AREIT to raise capital. It's becoming a trend.