Pair Trading

msa5678

Well-Known Member
#31
This week in pairtradepro ....
I have gone through your site "pairtradepro". I found
it to be very useful . One small suggestion is to make
the entry criteria as a range like 2.4 to 2.6 SD. In that
way entries can be done over a period of time. The SL
criteria has already been discussed by ST sir in the previous
post which is also an important aspect. Other than that
the features are excellent.
 
#32
Pair Trading with Defined Entry and Stoploss System

Now the pairtradepro , trading system has defined Entry and Exit. Many friends in traderji asked about a stoploss and different entry sd levels. I have added the stoploss and other features.

Here's a screenshot of new features


In Backtest
1. Lookback Period
2. Entry SD-Mean
3. Exit SD-Mean
4. Enable StopLoss and Give Input - E.g. if entry is 2.5sd and user give 1sd for stoploss, then system will exit trade when SD cross 3.5. So now the trade exit is defined.

In compare page I’ve added settings to adjust:
1. Lookback Period
2. Entry SD-Mean
3. Exit SD-Mean
4. View Correlation Column in Table

Friends kindly give your feedback and suggestions.
 
#35
Hello!!

This started as a very interesting post, however, seems to have lost steam.

Big Sell, you have not replied to your own thread in some time.
Busy with work elsewhere, or this post has lost priority???
 
#36
There was no questions raised in the thread so I didn't post. I felt posting something about the tool again and again will be considered as self-promotion. So I was waiting for some one to post questions so that I can reply to that.
 

rkkarnani

Well-Known Member
#37
There was no questions raised in the thread so I didn't post. I felt posting something about the tool again and again will be considered as self-promotion. So I was waiting for some one to post questions so that I can reply to that.
Hi PTP, How about visiting the thread you had started. It seems you have forgotten about it.
Here is a link : http://www.traderji.com/equities/98741-top-pair-stocks-pair-trading-3.html

Please visit and respond to the posts there. It gives a wrong signal to members when you are absent from your own thread !
 
#38
Yes Sorry about this. Was not visiting the forums all this while. I actually Automated This system and been trading it live. If in case you are following this thread, i can answer your questions
 
#39
Good evening everyone,

What is happening here?

So any new better technique on the way?

Let's get in here, and start once again with full energy.


Pair to observe:

Sell Nifty 1 lots @ 8878
Buy Bank nifty 2 lots@ 20144
Max loss=12560(SL)
Profit exit= 15000/20000(target)

Although markets are closed, we will observe this pair for timebeing. All prices taken LTP.
 
#40
Thanks.
I do run my own excel sheet. Correlation can be done in excel easily. Its the co-integration part which takes time. Co-integration can be calculated by 2-3 different methods, specifically ADF test ( Augmented Dicky-Fueller Test ) or by Johansons Test and using OLS ( Ordinary Least Square ) as well.

Although the theortical papers and books tell us that co-integration is a must, it actually is a hindrance while doing pairs trading. I had run Co-integration test on the entire F&O universe ( well almost the entire F&O) and came up with no pairs which were fully integrated. Hence i do not use co-integration. I rarely look at correlation as well. I ll explain it in future posts. Hope to see you around here more :) and learn from your experiences as well
There are many pairs with good co-intigraton in fno

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