My Pair Trading Journal

Discussion in 'Position Trading' started by GuluGulu, Jan 8, 2013.

  1. GuluGulu

    GuluGulu Well-Known Member

    Joined:
    Jun 25, 2009
    Messages:
    320
    Likes Received:
    772
    Trophy Points:
    93
    Location:
    14 Wall Street
    A Pairs Trade between PNB-ORIENTBANK initiated by me; details below:

    http://www.traderji.com/position-trading/76085-equity-hedge-strategies.html#post740037

    Now has a profit of 59K in just 2 months+
    Total Margin required was around 1L, return 59K, i.e. 59% in just 2 months.

    Current AXISBANK-YESBANK has now running through M2M Loss...Lets see it in about a month or two.

    People can virtual trade this New pair in NSE Pathsala.
     
  2. PartTime_Trader

    PartTime_Trader Well-Known Member

    Joined:
    Jul 16, 2012
    Messages:
    440
    Likes Received:
    512
    Trophy Points:
    93
    Hello GG sir

    It is clear that we need to use a lot of diversification i.e. need to trade multiple pairs.

    What is the minimum number of pairs that need to be traded simultaneously to adequately de-risk the portfolio. Also if you can add more about MM.

    Whenever possible do tell us about, layering or scaling-in / out into a pair and exiting even when targets not achieved (time stop / give up / uncle point)

    Thanks
    :thumb:
     
    pankajpari and GuluGulu like this.
  3. GuluGulu

    GuluGulu Well-Known Member

    Joined:
    Jun 25, 2009
    Messages:
    320
    Likes Received:
    772
    Trophy Points:
    93
    Location:
    14 Wall Street
    Hi PT,

    I am not Sir; Rest all are to me. Please do not call me that way.

    BTW, I shall try to discuss more when I shall get time. Are you trading the pair in NSE Pathsala?

    I request all NOT to trade my trades live; instead just paper-trade or trade in NSE Pathsala.

    May God Bless all of us,

    Warm Regards,
    GG
     
  4. PartTime_Trader

    PartTime_Trader Well-Known Member

    Joined:
    Jul 16, 2012
    Messages:
    440
    Likes Received:
    512
    Trophy Points:
    93
    OK, will keep your wish in mind and drop the word sir :)

    The questions i have put up as they occurred to me however there is no urgency,
    please take your time and reply whenever you are free and feel inclined to do it.
    I have many more questions, specially about using the trends etc but will ask them as we go along.

    I will be probably using excel to follow the trades that you will be discussing here and also document others that i/we come across.

    Cheers
    :)
     
    pankajpari likes this.
  5. Klewtar

    Klewtar Well-Known Member

    Joined:
    Mar 16, 2011
    Messages:
    399
    Likes Received:
    276
    Trophy Points:
    63
    I am interested to know more about spread trading in the banking sector.

    I will download the pair trade finder software once I figure out which version of SQL 2012 I need :)

    One concern for me is how to select which stock to short and which to go long in once they reach a certain amount of deviation?
     
  6. GuluGulu

    GuluGulu Well-Known Member

    Joined:
    Jun 25, 2009
    Messages:
    320
    Likes Received:
    772
    Trophy Points:
    93
    Location:
    14 Wall Street
    Hi Klewtar,

    One technical question. I am using SQL 2008 with PTF. I tried to install this on Windows 7 Home 64bit machine. But the firewall is blocking this database to access internet, so PTF can't getting data from Yahoo Finance.

    I have tried a lot to resolve this Firewall problem with SQL but failed, so installed PTF on a WinXP machine which is OK.

    But, as the no. of pair goes many, PTF as well as the SQL kept crashing every time on my low-end WinXP machine.

    Can you help me to resolve the firewall problem; or will PTF run on SQL 2012 with Win 7 machine above?

    Any help is appreciated.

    GG
     
  7. PartTime_Trader

    PartTime_Trader Well-Known Member

    Joined:
    Jul 16, 2012
    Messages:
    440
    Likes Received:
    512
    Trophy Points:
    93
    You can try this MS FixIt Link: http://support.microsoft.com/kb/968872

    Although the Fixit is for win server 2008, it should also work for Win 7


    Alternately copy the script below to a text file and rename it to 'OpenSqlServerPort.bat'

    Code:
    netsh advfirewall firewall add rule name="Open Port 80" dir=in action=allow protocol=TCP localport=80
    
    @echo =========  SQL Server Ports  ===================
    @echo Enabling SQLServer default instance port 1433
    netsh advfirewall firewall add rule name="SQL Server" dir=in action=allow protocol=TCP localport=1433
    @echo Enabling Dedicated Admin Connection port 1434
    netsh advfirewall firewall add rule name="SQL Admin Connection" dir=in action=allow protocol=TCP localport=1434
    @echo Enabling Conventional SQL Server Service Broker port 4022
    netsh advfirewall firewall add rule name="SQL Service Broker" dir=in action=allow protocol=TCP localport=4022
    @echo Enabling Transact SQL/RPC port 135
    netsh advfirewall firewall add rule name="SQL Debugger/RPC" dir=in action=allow protocol=TCP localport=135
    @echo =========  Analysis Services Ports  ==============
    @echo Enabling SSAS Default Instance port 2383
    netsh advfirewall firewall add rule name="Analysis Services" dir=in action=allow protocol=TCP localport=2383
    @echo Enabling SQL Server Browser Service port 2382
    netsh advfirewall firewall add rule name="SQL Browser" dir=in action=allow protocol=TCP localport=2382
    
    @echo =========  Misc Applications  ==============
    @echo Enabling HTTP port 80
    netsh advfirewall firewall add rule name="HTTP" dir=in action=allow protocol=TCP localport=80
    @echo Enabling SSL port 443
    netsh advfirewall firewall add rule name="SSL" dir=in action=allow protocol=TCP localport=443
    @echo Enabling port for SQL Server Browser Service's 'Browse' Button
    netsh advfirewall firewall add rule name="SQL Browser" dir=in action=allow protocol=UDP localport=1434
    @echo Allowing multicast broadcast response on UDP (Browser Service Enumerations OK)
    netsh firewall set multicastbroadcastresponse ENABLE
    
    To run the script, follow these steps:
    1. Click Start, click Run, type cmd, and then click OK.
    2. At the command prompt, use the cd command to move to the folder in which you saved the OpenSqlServerPort.bat file.
    3. To run the OpenSqlServerPort.bat script, type OpenSqlServerPort.bat at the command prompt, and then press Enter.

    Hope this will solve your problem for opening SQL ports.

    Cheers
    :thumb:
     
    pankajpari and GuluGulu like this.
  8. GuluGulu

    GuluGulu Well-Known Member

    Joined:
    Jun 25, 2009
    Messages:
    320
    Likes Received:
    772
    Trophy Points:
    93
    Location:
    14 Wall Street
    Thank you PT,

    I shall try this fix this weekend.

    A new pair in my radar is FEDERALBANK(Long)-INDUSINDBANK(Short)

    Watching now for possible entry.

    GG
     
  9. GuluGulu

    GuluGulu Well-Known Member

    Joined:
    Jun 25, 2009
    Messages:
    320
    Likes Received:
    772
    Trophy Points:
    93
    Location:
    14 Wall Street
    In MCX, Entered Pair Trade

    ZINCMINI(Long)-LEADMINI(Short); each 1 Lot.

    Spread difference @ entry is 16.55; Here I shall maintain a Stop Loss @ 18 and my target is 10; @ around 38.8% Fib retracement of Spread.

    Let's see what happens. This is a very low volume experimental trade compared to my capital.

    This is the only metals in MCX with highest correlation. Not talking about calendar arbitrage between same metal like GOLD or SILVER.

    GG
     
    Last edited: Jan 11, 2013
  10. Klewtar

    Klewtar Well-Known Member

    Joined:
    Mar 16, 2011
    Messages:
    399
    Likes Received:
    276
    Trophy Points:
    63
    I'm using the firewall in the spyshelter spyware+firewall package.

    Databse did not work from sql local db package so I installed the database engine version of SQL server 2012 and it works now.

    I entered the codes for bank nifty. It says that the Yes bank and Axis bank generated a loss over the last year (it says that the pair is in trade now so could it be saying that the current pair is in loss which I think today should actually be in profit?)

    I re-started following the Zinc and Lead pair trade system yesterday (which is connected to how I started following your thread GuluGulu.) Lead and Zinc tend to move up and down together with Lead having larger movements than Zinc. It is time for prices to fall so a trade that shorts Lead could be profitable.
     

Share This Page