belflan's US stock pair trades

[belflan]

2entries long 2entries short shown (double arrows)

I'm going to scrap the intra day entries of the 10MACCI for this strat. I don't think it will matter that much (due to the time frame of this strat) and I don't think I am getting that much of an advantage

from now on both short and long legs will be opened at the same time

belflan

 

[belflan]

hmm,

I have 7 positions opened each side and I would already have exceeded my account size of $30k with IB.

my current underlining position = $160K for both short and longs

I wonder if IB give margin relief if holding both long and short portfolios?

 

[belflan]

hmm,

I have 7 positions opened each side and I would already have exceeded my account size of $30k with IB.

my current underlining position = $160K for both short and longs

I wonder if IB give margin relief if holding both long and short portfolios?

need to do something about this, not sure what yet.. posted to IB thread to see what the actual margin requirement would be at present..

I'm in no way trying to 'over margin' position here, I'm just going through this process to find out what position sizing is sensible for a $30K account trading in this way (Or maybe what size account is required to trade the positions I am taking here...)

can't help but think, this sort of practical trading information is not talked about enough (well on the other boards anyway) Makes me wonder who's trading and who's just talking about it.

belflan

 

[belflan]

need to do something about this, not sure what yet.. posted to IB thread to see what the actual margin requirement would be at present..

I'm in no way trying to 'over margin' position here, I'm just going through this process to find out what position sizing is sensible for a $30K account trading in this way (Or maybe what size account is required to trade the positions I am taking here...)

can't help but think, this sort of practical trading information is not talked about enough (well on the other boards anyway)

belflan

in the mean time for the purposes of the thread I will assume a starting balance of $100K instead of $30k and a margin requirement of 50%

therefore underlining positions max of $200K

with 7 positions opened each side i'm currently at $160K. I will probably need to reduce my risk % for position sizing calc to allow 10 positions each side, which I shall do as I rotate in/out of positions

belflan

 

[belflan]

current long positions

AMX doing a bit of damage

 

[belflan]

current short positions

BRCM doing some damage

 

[Yuppie]

Exits...

Hi belflan,

Since you have modified the pair strategy put forward by Grey1, I have some questions, if you don't mind...

What is your exit strategy for a pair, or are you still experimenting?...

When you go long and short a pair at the same time, are these two linked until the end of the the trade(s)?... i.e. If you have a signal (whatever method) to exit a particular stock, do you also exit the paired stock that was entered into at the same time?...


Cheers,

Magnus

 

[belflan]

Hi belflan,

Since you have modified the pair strategy put forward by Grey1, I have some questions, if you don't mind...


What is your exit strategy for a pair, or are you still experimenting?...

hi Magnus, welcome to TT,

yes, still finding my feet, exits to the mo..= when stock gets overbought oversold on the day MACCI of the stock.. when it exit I will be re-entering in a different stock, rotating the portflio as I go ....

When you go long and short a pair at the same time, are these two linked until the end of the the trade(s)?... i.e. If you have a signal (whatever method) to exit a particular stock, do you also exit the paired stock that was entered into at the same time?...

No they won't be linked, the only thing that is a must is the number of positions per side must stay the same..

very much a work in progress


cheers
belflan

 

[Yuppie]

Ah...

Thank you for the welcome belflan...

when stock gets overbought oversold on the day MACCI of the stock... exit

Okay, exiting on OS/OB of daily.

No they won't be linked, the only thing that is a must is the number of positions per side must stay the same..

So, I'm assuming always having a hedged position, you are not concerned with stoplosses?... Trying to get a better handle on your strategy so I can keep up with you posts/analysis/results...


Magnus

p.s. Is there currently any, or planned, online live trading/Q&A sessions with Grey1 or anyone else? I see the last one was a couple of months previously. From what I've read, these sessions are invaluable.

 

[belflan]

So, I'm assuming always having a hedged position, you are not concerned with stoplosses?... Trying to get a better handle on your strategy so I can keep up with you posts/analysis/results...

no fixed figure stop losses, however if I'm long in a stock the that stock goes O/B I'll exit the position even if its at a loss (vice vrs for shorts)


Magnus

p.s. Is there currently any, or planned, online live trading/Q&A sessions with Grey1 or anyone else? I see the last one was a couple of months previously. From what I've read, these sessions are invaluable.

not sure, I believe Grey1 health hasn't been that great, i think the next webinar will be on FA, but i'm not sure when.


belflan

 

[belflan]

proposed long and short positions for tomorrow

belflan

 

[belflan]

2shorts
2longs

opened

 

[belflan]

running total = -$2,330

 

[belflan]

max on margin, so no more positions until postions need rotated..

WMT long with Macci at +81 may be the first exit (next in a day or so..)

QCOM after that maybe.. we'll see

no shorts looking like exits yet

belflan

 

[belflan]

running total = -$4,216

will exit QCOM tomorrow

replacement maybe IBM

 

[belflan]

ibm long

qcom long closed

 

[belflan]

ibm long

qcom long closed

profit on qcom = $925

belflan

 

[belflan]

running total = -$3,398

 

[belflan]

will exit WMT long, and enter HAL or SLB long tommorrow

 

[belflan]

WMT long closed

SLB long opened