Pairs Trading UK & US Stocks Journal

[tradingtrading]

I am following a very similar strategy to yours and would be happy to swap pairs ideas with you. I trade US, Europe & UK.

I am very interested in what kind of returns you have generated thusfar, and whether you monitor performance with metrics?

I presume you have been consistently trading with entry points at 2 stabdard deviations from the 20day ma of the ratio of the paired stocks?

 

[stocktrader77]

I am following a very similar strategy to yours and would be happy to swap pairs ideas with you. I trade US, Europe & UK.

I am very interested in what kind of returns you have generated thusfar, and whether you monitor performance with metrics?

I presume you have been consistently trading with entry points at 2 stabdard deviations from the 20day ma of the ratio of the paired stocks?

Yes interested to hear your strategy, so far in this journal Ive have made 24%, I can definitely do better though, I haven't take as many trades, been busy with other business, still none the less Ive significantly outperformed the market which is most important, yes 2stdev from the mean is the signal level for me. What European stocks are you trading?

 

[stocktrader77]

Ok time to update the journal, Ive haven't had much time lately, been traveling, Il get more active in posting now that Im back.

Ive exited all trades, with no open trades atm.

Sold GTE - 2.48
Covered STR - 29.72

Sold ETP - 40.11
Covered PAA - 41.86

Sold SEIC - 14.76
Covered OXPS - 15.86

Sold TBSI - 11.66 (huge profit here, bought it for 7.93)
Covered NM - 4.77

 

[tradingtrading]

Hi and apologies for late response. I like what you are doing on this thread! I'm in process of building up some European/UK pairs to trade but its a slow process compared to the US. I'd be interested in hearing of what others think are good trades. I stick to the larger cap universe, for example ...

bp/shell
sainsbury/tesco
prudential/aviva
antofagasta/bhp billiton
adidas/puma
linde/air liquide
casino/carrefour
eni/total
basf/akzo
salzgitter/thyssen
e.on/edf
suez/veolia

 

[stocktrader77]

New trade

Long EGLE - 7.36

Short GNK - 23.80

 

[stocktrader77]

New trade

Long BRE - 25.38

Short AVB - 64.43

 

[warrenmurdoch]

Is the software analyzing correlation or cointegration?

 

[stocktrader77]

I believe its correlation.

 

[stocktrader77]

opened trade in shipping industry

Long TNP - 20.21

Short FRO - 25.71

 

[stocktrader77]

Closed trade for profits yesterday

Sold BRE - 24.44

Covered AVB - 59.92

 

[Chiefton]

Very very interesting thread, many thanks for posting this up

 

[j0hnsmith123]

This is a great thread, please keep it up.

Do you have any overall stats? eg % good/bad trades, profit/loss %, av profit %, av loss % etc etc

 

[stocktrader77]

Guys, I'm going have to call an end to my posting on this journal, was fun to share my method with others and I made pretty good profits on the trades posted here. But i'm far too busy launching a new un-related business venture with my partner to continue posting here, Ive also stopped trading myself and outsourced my pair trading to the guys at Pairtrade Alerts where they trade their signals for me in a managed account, they actually do a far better job than I do, plus I don't have to do anything, so it's worked out great so far. If you guys want to keep posting, please do, il be sure to check in every now and then to read your comments, thanks for all your input and I wish you all the best in trading. CIAO

 

[combotrader]

Who are you ?

Honestly - you arouse interest in this software and then dissappear ?

I have several questions for you :

1) Correlation is NOT cointegration - and cointegration is what pair trades depends on. A stock pair can be correlated - ie their prices move close together, but not cointegrated, ie they mean revert etc. Then you do the dickey fuller test to get a hedge ratio etc. The ideal look back period is > 2yrs - NOT 100 days as you say.

2) You say that you are an ex bank trader - and you dont know this basic fact ? I also noticed when Mr Gecko asked you about bootstrapping you didn`t seem to have a clue.

I might be completely wrong - but it seems to me that an ex bank trader would at least know about boot strapping and monte carlo etc.....if you are a vendor then just say so.

Thanks
Combo

 

[upackweship2]

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http://www.upackweship.com

 

[lieblm]

Hi, just wondering - anyone would be interested in puttting some life to this subject? I am starting to use PairTradeFinder for trading US stock pairs, have been backtesting for some months now and have almost 20 pairs in my paper portfolio. Any other soul around here would be interested in sharing ideas in this field?
Thanks
Martin

 

[aandragon]

Entered a trade on the NYSE, two shipping companies Overseas Shipholding Group Inc. (OSG) & Teekay Tankers Ltd. (TNK). I can see the ratio chart approaching the support zone plus there is a divergence between the RSI & ratio chart and high correlation at 94.71%

Long Entry OSG - 35.76

Short Entry TNK - 11.81

so do you simply buy 1,000 shares OSG and short 1,000 TNK? Do you use a limit or market order? Where do you place stops generally? Looks great.

 

[aandragon]

De Trend STock Prices

That's an interesting pair - looks like only 40% correlation prior to November...

How do you protect yourself against a situation where the sector takes a nosedive and all players in the sector appear to be more correlated ?

Also - the big bear market we are currently in - most instruments are going down but that doesn't mean they are correlated per se - just that everything is going down.

I'd have thought that a strategy like this would be better in a non-trending market. How do you distinguish between truly correlated instruments and those simply moving with the market trend ?

Pedro .. to remove the effect of market trend, look at each stock versus the index i.e. stock price / index price. That way you de-trend the stock prices and then you can examine the correlation between the pair in the absence of the market trend.

 

[Hill Farmer]

Pairs trading report from IG. A different approach.

Captain Haddock, do you use CFD's/spread bets with IG for your shorts? Thanks.

 

[Hill Farmer]

Exited two trades for profit on both pairs

Sold CMCSA - 12.99 (went long 13.74)

Covered SJR - 15.00 (went short 16.51)

------------------------------
Sold ACE - 40.75 (went long 42.33)

Covered ACGL - 55.78 (went short 63.42)

So far in the journal->

Trades: 12
Closed: 5

Stock
Wins: 4
Losses: 1
Profit: $17,809

I trade 50k each side of the pair.

Stocktrader77 - what does 'Covered' mean? Thanks.