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ASX Stock Pairs Trade Journal

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Closed trade

Sold NWS @ 13.75 (6.25% profit)
Covered NWSLV @ 12.21 (4.26% loss)

Remember whilst the profit is relatively small on this pair trade I had increased trade size as the risk with same stock arbitrage is significantly reduced, almost non-existent. Ive been successfully trading this pair for years now.

15 Wins
1 Scratch
1 Loss
 
Closed another profitable trade

Sold MLB @ 2.26 (2.72% profit)
Covered SMX @ 2.80 (2.85% profit)

16 Wins
1 Scratch
1 Loss
 
tatankov said:
PTF closes a trade, only when the ratio cross the "rolling" mean value, right?

It's not possible to configure other ways to exit a trade? This is a big limitation in my opinion.
Click to expand...

Yes when the pair returns to the mean is when an exit signal is given, you can use other analysis readings to exit earlier, as I mostly do, so you can exit when the pair comes back within 1 stdev from its mean, this increases your win rate, decreases avg holding time, and significantly reduces your chance of being stuck in long, losing trade.
 
tatankov said:
What money management rules do you follow?
Do you size your positions according to the pairs volatility?

All your trades are dollar neutral? You never consider beta neutral trades?
Click to expand...

Strictly dollar neutral, and don't place more than 30% of your a/c in any one trade. I find keeping money management simple the best practice and in my opinion if you have to adjust position sizing based on different volatility in one stock to the other in the pair, then that isn't a good pair to trade because one stock clearly is different from the other, plus you don't know which side is going to produce the profits, so if you heavily weighted on one side, you risk magnifying your losing side more than it should.
 

Thanks for your answer.

So, in your opinion, exiting when pair comes back within 1stdev, it's the overall best stop-profit? From visual inspection, 0.5 stdev, seemed a little better.

Regarding Maximum Holding Time, what does your experience tell you? I would bet in something between 8-12 days, but would like to know what do you think.

By the way, let me add that I am already a PairTradeFinder client. Purchased a license 2 weeks ago.
After testing the trial, during 15 days, I was convinced, and in my opinion is a good software, especially taking in mind its low price. Therefore is one of the tools i incorporate on my pairtrading model.

But would benefit from from obvious improvements. Being able to configure the exit signals (% loss, max days, e.g.), it's one of the crucial improvement.

Best Regards
 
New trade

Long NSEI (Nifty Index) @ 3607.85
Short HSI (Hang Seng) @ 17681
 

Attachments

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New trade

Long APN @ 1.19
Short FXJ @ 1.11
 

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New trade

Long AXJO @ 3862
Short N225 @ 9338
 

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Closed index pair trade from yesterday for nice profits

Sold NSEI @ 3555 (1.46% loss)
Covered HSI @ 16937 (4.39% profit)

I love the hang seng, made 744 pts overnight, you don't see that everyday.

17 Wins
1 Scratch
1 Loss
 
Not sure what you trying to say? I am fading the spread chart at 50 day lows as per my rules.
 
Pairs Trader said:
Not sure what you trying to say? I am fading the spread chart at 50 day lows as per my rules.
Click to expand...
You answered my question.

Do you prefer pairtrading index or stocks?

Are you increasing your position size, on these index tradings? The distance from mean is very low.
 
They're both good to trade, If I had to choose one over the other I would choose stocks, more to choose from and more potent inefficiencies, however index pair trades are very low risk, the chance of a black swan event occurring is almost non-existent and yes I do size up for these trades, typically 1.5-2 times the normal stock pair trade size.
 

Yes its up to the individual to customize his own system, you can be as systematic or discretionary as you like, Im systematic in entries according to filters, however I use more discretion in my exits, for eg....if I show a nice profit overnight il take it, typically its within 1 stdev from the mean, sometimes if a pair is being stubborn il wait a bit, most winning trades occur within 1-7 days of placing them, so I look to exit within that timeframe, typically trades open longer than 10 days have a much higher lose rate % and can expose you to a long, losing trade. We are incorporating customizing exit signals into version 3.
 
Closed trade that I opened yesterday for good profits

Sold APN @ 1.25 (5.04% profit)
Covered FXJ @ 1.09 (1.83% profit)

18 Wins
1 Scratch
1 Loss
 
Nice trading PT.

20 trades down. Might be time for a summary. Total returns on account etc
 
New trade, same stock arbitrage, news corp again, currently its 2.27% above its mean, an historical extreme.

Long NWSLV @ 11.68
Short NWS @ 13.75
 

Attachments

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New trade

Long CTX @ 9.98
Short AOE @ 3.93

Cracker of a day up here in Queensland, should be out on the water
 

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