Trader333
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Ron,
I have several pages but only trade on one at a time so allowing me to see what my overall profit and loss is. As already said by proxy one of the pairs went against me a fair way but my overall position was fine. If these had been directional trades I would have lost on both at different times so it is easy to see why pair trading has a lot of merit.
Paul
I have several pages but only trade on one at a time so allowing me to see what my overall profit and loss is. As already said by proxy one of the pairs went against me a fair way but my overall position was fine. If these had been directional trades I would have lost on both at different times so it is easy to see why pair trading has a lot of merit.
Paul
Paul/Grey,
Even though pair trading is market neutral (i.e. meaning that it doesn't matter if the market goes up or down), are you looking to employ pair trades when the market is neutral? What I mean is that would you be looking for the Nas futures and COMPQ to be meandering around, TRINQ around 1 etc.? If the market was trending significantly one way or another then that would rather invalidate one of the pairs, wouldn't it? The logic being that shorting a stock even though it was at an extreme (VWAP + 1/2 today range) is riskier in an uptrending market and vice versa for a long. Or, do you consider that because a stock is at a VWAP extreme and statistically likely to reverse more relevant than the underlying market direction? Just trying to get a feel for how and when you are appling pair trades....
Thanks,
Proxy
Even though pair trading is market neutral (i.e. meaning that it doesn't matter if the market goes up or down), are you looking to employ pair trades when the market is neutral? What I mean is that would you be looking for the Nas futures and COMPQ to be meandering around, TRINQ around 1 etc.? If the market was trending significantly one way or another then that would rather invalidate one of the pairs, wouldn't it? The logic being that shorting a stock even though it was at an extreme (VWAP + 1/2 today range) is riskier in an uptrending market and vice versa for a long. Or, do you consider that because a stock is at a VWAP extreme and statistically likely to reverse more relevant than the underlying market direction? Just trying to get a feel for how and when you are appling pair trades....
Thanks,
Proxy
Grey1
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proxy,
spot on .. when market is neutral or oscillating then pair trading would be the strategy other wise we would take a directional trade in the direction of the general market, how ever we would not buy into strength .. We would trade the weakness ( longing the stocks with lower than VWAP price.. )
Regards
spot on .. when market is neutral or oscillating then pair trading would be the strategy other wise we would take a directional trade in the direction of the general market, how ever we would not buy into strength .. We would trade the weakness ( longing the stocks with lower than VWAP price.. )
Regards
Trader333
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Here are the charts of the trade which did at one point go againt my position by 18 points. In the end it made 40 points profit so still slightly better than 2 to 1 reward to risk . I have had to change the time to 2 minute charts as with 1 minute I would not be able to show the entry and exit on a single chart.
The other issue here that did alarm me is that when I entered the trade the Dow was not at a +/- 50 points for the day but during the trade it did go beyond this. Now had I not been in the pair trade already, I would not have opened one once the Dow had hit this figure as program trades are more likely and this can neutralise a pair trading strategy. Anyway as it turned out things worked out but I will not be making any more pair trades today only directional trades.
Paul
The other issue here that did alarm me is that when I entered the trade the Dow was not at a +/- 50 points for the day but during the trade it did go beyond this. Now had I not been in the pair trade already, I would not have opened one once the Dow had hit this figure as program trades are more likely and this can neutralise a pair trading strategy. Anyway as it turned out things worked out but I will not be making any more pair trades today only directional trades.
Paul
Attachments
I was watching those live Paul, as I am sure half of the board was, and could see GENZ going against you as the whole market was dropping.
The comfort of the pair trade is the fact that the QLGC short kept you in the trade, and enabled a profitable exit.
Well done.
IanH
The comfort of the pair trade is the fact that the QLGC short kept you in the trade, and enabled a profitable exit.
Well done.
IanH
Hi Paul,
Can I ask why you took the trades then? Earlier in your charts at 15:02 QGLC crossed back under the upper VWAP line and GENZ crossed over the lower VWAP line. I'm just wondering what made you enter when you did.
Also, when you say you'll only be taking directional trades for the rest of today are these VWAP based trades? If the Dow went back into the range between -50 to 50 would you consider pair trades again?
Thanks,
Proxy
Can I ask why you took the trades then? Earlier in your charts at 15:02 QGLC crossed back under the upper VWAP line and GENZ crossed over the lower VWAP line. I'm just wondering what made you enter when you did.
Also, when you say you'll only be taking directional trades for the rest of today are these VWAP based trades? If the Dow went back into the range between -50 to 50 would you consider pair trades again?
Thanks,
Proxy
Trader333
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The blue line is vwap, as you can see the QLGC trade had come down below its vwap and with 40c on the table I decided to take it. If I had held on then QLGC did make over 100c but there is no point in thinking what may have been and I rarely look back once a trade is closed.
Paul
Paul
Trader333
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proxy,
My system is set up to not alert me before 3.00pm so anything that happens beforhand I do not get alerted to. The first signal I got was for GENZ to go Long but I didnt have another stock to go Short at that point so didnt take it. I have said previously that I will always place my Short trade first in case I am prevented from doing so which can happen on occasion.
I got alerted to QLGC literally the same minute that I placed the trade because the price had gone outside of the outer vwap band for the first time since my 3.00pm deadline. Once filled on QLGC I then placed the GENZ trade.
I will not place any more pair trades once the Dow has hit + / - 50 for the rest of the day regardless of where it goes after that.
Paul
My system is set up to not alert me before 3.00pm so anything that happens beforhand I do not get alerted to. The first signal I got was for GENZ to go Long but I didnt have another stock to go Short at that point so didnt take it. I have said previously that I will always place my Short trade first in case I am prevented from doing so which can happen on occasion.
I got alerted to QLGC literally the same minute that I placed the trade because the price had gone outside of the outer vwap band for the first time since my 3.00pm deadline. Once filled on QLGC I then placed the GENZ trade.
I will not place any more pair trades once the Dow has hit + / - 50 for the rest of the day regardless of where it goes after that.
Paul
Grey1
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Ian,
when I saw paul's post I watched the Genz which was going up .. saying that I did not know paul's entry point.. either way the whole idea is to reduce risk so in worse case one could close one position if it hits his stop.. GENZ met is bottom and rose up eventually..
To be quite honnest I did not know paul closed one pos and let the other run as i did not know his entry point..
Well done paul nice trade
Regards
when I saw paul's post I watched the Genz which was going up .. saying that I did not know paul's entry point.. either way the whole idea is to reduce risk so in worse case one could close one position if it hits his stop.. GENZ met is bottom and rose up eventually..
To be quite honnest I did not know paul closed one pos and let the other run as i did not know his entry point..
Well done paul nice trade
Regards
This is an excellent thread. Thank you for setting it up.
Does anyone know a workaround to draw a VWAP line in either TS or e-Signal? TS says their VWAP is available only in a Quote Screen and e-Signal doesn't seem to have anything close.
Thanks,
Bob
Does anyone know a workaround to draw a VWAP line in either TS or e-Signal? TS says their VWAP is available only in a Quote Screen and e-Signal doesn't seem to have anything close.
Thanks,
Bob
Bob,
I use esignal to chart VWAP + MPD, but it is not very good.
esignal only provide it on the Standard chart, but I use an EFS that was written by a friend in the advanced chart.
If you want it, let me know, & I will ask if I can distribute it.
I am looking for a copy of TS2000i which Trader333 uses, & seems to do a better job.
IanH
I use esignal to chart VWAP + MPD, but it is not very good.
esignal only provide it on the Standard chart, but I use an EFS that was written by a friend in the advanced chart.
If you want it, let me know, & I will ask if I can distribute it.
I am looking for a copy of TS2000i which Trader333 uses, & seems to do a better job.
IanH
