My Pair Trading Journal

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

  1. PartTime_Trader

    PartTime_Trader Well-Known Member

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  2. GuluGulu

    GuluGulu Well-Known Member

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    Thank you PT for the PDF. Although I have read this paper earlier, but well worth revisiting again.

    GG
     
  3. GuluGulu

    GuluGulu Well-Known Member

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    Exited AXISBANK @ 1413.25 and YESBANK @ 516.8 with little loss; as PairTrade Finder gave an exit signal, because STDev returned from 2.7 to 0.7. Profit target was at STDev at 1.

    AXISBANK 1362.75->1413.25 = 12625
    YESBANK 501.65->516.8 = (15150)

    Net Loss = 2525/-
     
  4. GuluGulu

    GuluGulu Well-Known Member

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    No new trade as of now. Although PTF was showing a lot of trade; but I have some filters that is preventing taking any of them.

    Some of them are:

    1. Co-integration must be above 90%
    2. Correlation must be above 80%
    3. Rising correlation graph.
    4. Ratio-chart must NOT be trending. It should be looking like sideways-movement.

    GG
     
  5. PartTime_Trader

    PartTime_Trader Well-Known Member

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    After a lot of struggle, finally got the PTF working.

    Last week-end tried it on win xp with sql express 2005 without much success.

    Now got it done on Win 7 with sql express 2012, a bit of problem with getting nse data into it etc, but for now seems working. I had to upgrade the user login (win 7) to Admin from Standard.

    The learning curve is quite steep, seems most of the 30 days of demo time will go in getting started :)

    Cheers
    :thumb:



    EDIT: I need help with the Symbol for Nifty and Bank Nifty Indices to be used with PairTradeFinder.
    I have tried using ^NSEI & ^NSEBANK
     
    Last edited: Jan 19, 2013
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  6. PartTime_Trader

    PartTime_Trader Well-Known Member

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    Hi


    How to get Nifty and Bank nifty data inside Pair Trade Finder?

    Is there a way to bulk import data into it? (for futures data)? Can we export stuff like co-integration values for multiple pairs to excel?


    Cheers
    :thumb:
     

  7. tssumit

    tssumit New Member

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    Hi Gulugulu this is SBI-HDFCBANK Chart can one go short on HDFCBANK and long on SBI. as a Pair
    The chart is from Jan 2006.
    Green line represents HDFCBANK and Blue line SBI.

    [​IMG]
     
  8. ullastp

    ullastp Member

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    Nice to see some one is there for Pairs Trading....
    By the way I think,
    It should be Long 3 Lot AXISBANK @ 1362.75 Vs Short 2 Lot YESBANK @501.65 in order to make the investment capital equal in both the scrips.

    Here actually the concept of "mean reversion" worked 100%. The only mistake you have done is, you shouldn't made equal investment in both the scrips. Actually speaking your trade was a directional trade with YESBANK highly weighted and hence it won't come under market neutral strategy.

    So i would like to say, u wrongly executed your trade and missed a profit of +7575/- if u exited @ the said levels(AXISBAK: 1413.25 and YESBANK: 516.8)
     
    Last edited: Jan 22, 2013
  9. GuluGulu

    GuluGulu Well-Known Member

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    Hi Ullastp,

    Yes right I was aware of that fact of capital equilibrium. But I entered at that time because I was running out of capital in that pair trading A/c. Out of my total capital, about 75% is left at MCX and at that time, I was also running several other pairs.

    That was the new trade and I admit, I really made that mistake and came out before any further thought.

    Anyway, you deserve a very good thanks for pointing me out that also because mistake is a mistake.

    In my trade, the unhedged capital was around a whoping 19% (towards YESBANK) of the total trade value, whereas in your example it was 0.9%. making it perfectly market neutral.
     
  10. GuluGulu

    GuluGulu Well-Known Member

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    Hi tssumit,

    In PTF, the historical corelation and cointegration are both around 67%, which are below 90%. So, I may not consider entering a trade here in first place.
     
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