ASX Stock Pairs Trade Journal
- Thread starter Pairs Trader
- Start date
wow!, 80% that's incredible! well done. In 2 months, I am DOWN 4%, and out of 16 trades, 9 of them were losers! Not sure what i'm doing wrong...
but I am just keeping on going hoping for my luck to turn...
I'm obviously doing something very wrong in my pair selection, I have decided to halt my current trading as I am now down 18%, having had 7 of my last 8 trades lose!! I seem to be very good at picking trades where a fundamental price ratio change has happened and no revertion. As a result I am also not getting enough trades as these bad trades are using my margin up for 7 days or so until I close them.
I think my key problem is I don't know my stocks well enough, like SKC who I notice is very knowledgeable based on his posts. I'm just not in a position to get to know every Stock in the FTSE350 that well...maybe time will help...
Anyway, i'm going to have a rethink of my strategy and paper trade for a bit.
Thanks everyone for your help, especially SKC. Good luck everyone with your trading...
I think my key problem is I don't know my stocks well enough, like SKC who I notice is very knowledgeable based on his posts. I'm just not in a position to get to know every Stock in the FTSE350 that well...maybe time will help...
Anyway, i'm going to have a rethink of my strategy and paper trade for a bit.
Thanks everyone for your help, especially SKC. Good luck everyone with your trading...
- Joined
- 30 March 2009
- Posts
- 90
- Reactions
- 1
my performance of late has been lacking. This last week has been awful.
glad i'm not alone... my last two trades alone totaled an 11% loss !
skc
Goldmember
- Joined
- 12 August 2008
- Posts
- 8,277
- Reactions
- 329
Just take your time. It's not that time consuming to get to know the companies. 15-20 mins on each should give you a very good overview of what they do.
Use industry grouping as a start, then back test to find a good correlated pair, and invest 45mins to learn about the companies, and look at the individual price charts to gauge how well they trend and volatility etc. You should be able to build a very good pairs database in a couple of month, and build yourself a lot of intellectual assets at the same time (provided that you have a good memory).
I had a few bad trades in a row as well...looking at a drawdown of ~5%, which is the highest yet. I found that they were the ones put on during a relatively flat period of the market. I think someone once mentioned that, putting on a spread (which is what we are doing in pairs trading) is somewhat similar to selling volatility in options... I think that is quite a valid point. Or more simply put, opening a pair when both are ranging is leaving a lot to luck...
I am targeting a small milestone by end of year before I take some time off. Hopefully I will be able to achieve that and share it here.
Just send Jarad an email at PTF he will give you an answer.
yep fraid so... I gave up pair trading in favour of more traditional short/medium term trading and I am doing alot better. The pair trading experience was a very useful learning experience though...
skc
Goldmember
- Joined
- 12 August 2008
- Posts
- 8,277
- Reactions
- 329
For this to be a good discussion thread people need to share... don't be shy
I am still chucking away with this. Dec was a bad month for me and I made a loss of ~0.5%, after being up ~4.5%. Quite a few large losses in the second half of the month where the ratios just moved out and stayed out without mean reversion. But also quite a few of them moved back together a few days after my time-based exits.
I blamed it on the slower pace of stock movements during the xmas / new year and will probably shut pairs trading down around that time.
So far this month has been going OK with performance stats back to historical averages. Account up ~3%.
skc
Goldmember
- Joined
- 12 August 2008
- Posts
- 8,277
- Reactions
- 329
Today is one of those days when a pairs trader should vastly outperform the market.
In fact, if you had quick fingers and good data feed, the chaos in the first 30 minutes this morning would provide tons of opportunities.
Thanks to today's action my monthly return is now 7.5%... with ~ -2% in open positions.
Bring on the volatility!
In fact, if you had quick fingers and good data feed, the chaos in the first 30 minutes this morning would provide tons of opportunities.
Thanks to today's action my monthly return is now 7.5%... with ~ -2% in open positions.
Bring on the volatility!
- Joined
- 26 April 2009
- Posts
- 494
- Reactions
- 1
Today I got burned by my GPT/WDC pair trade, and my main share portfolio actually went up
skc wonder what pairs you are alluding to
skc wonder what pairs you are alluding to
skc
Goldmember
- Joined
- 12 August 2008
- Posts
- 8,277
- Reactions
- 329
Today I got burned by my GPT/WDC pair trade, and my main share portfolio actually went up
skc wonder what pairs you are alluding to
There was a signal today for long MCR and short MRE / IGO / WSA or any other nickel stock. Most fell 3-5% while MCR was at $1.51 at 10:10, down 16%. By end of day, MCR closed at $1.68, while the others pretty much all bounced around in a 1-2% range. If you had quick fingers - nothing wrong with closing a trade intraday when you've got 10% in the bag (which I didn't
).For the record I entered the reverse of the trade, Long MRE at .715 and short MCR at 1.70. Slightly dangerous given MCR will release their quarterly soon but seeing how MRE got punished for a positive report, I am expecting similar things for MCR. This position is about half the usual size for me.
Two pairs that did remarkably well today were long JHX short HST, and long OSH short WPL. Both opened only on Thursday and had great mean reversion offering good exit today.
I was surprised that WDC didn't move at all today - in fact the REIT sector was quite mixed. GPT has been falling quite a bit recently, and I opened today a long GPT short MCW trade. GPT has a slight bonus in being a possible (but long shot) takeover target for SGP or LLC... let's see how it goes.
Usually with a pair like long GPT short WDC, you will find that it works when the market is going up. I'd suspect there's some flight to quality when market suffers a large fall like today, and WDC will benefit relatively as a result. If you had opened the trade today you'll probably be in good shape early next week when the market bounces back a bit.
- Joined
- 26 April 2009
- Posts
- 494
- Reactions
- 1
I too saw the selling frenzy of MCR, but didn't pick up the signal as I was using a longer SMA, and if I had picked it up I think I would have hestitated seeing MCR with reports coming next week
Added another layer on GPT/WDC yesterday, but with another 2% sell off in the US, it doesn't look too promising
I am also long MGR/Short SGP, and yesterday it moved slightly in my favour
I am guessing no M&A activities at least til post-earning reports, although I am well positioned for this to come
Added another layer on GPT/WDC yesterday, but with another 2% sell off in the US, it doesn't look too promising
I am also long MGR/Short SGP, and yesterday it moved slightly in my favour
I am guessing no M&A activities at least til post-earning reports, although I am well positioned for this to come
Similar threads
