Pair Trading

vssoma

Well-Known Member
#44
dear big short,
can you share the excel sheet which you used to calculate the co-integration for one pair.
thank you.



Although there are softwares available which will let you run co-integration test on multiple stocks in a single go, most of them are paid.

I basically use an excel model which calculates it but you can only run it on one pair i.e 2 stocks at a time. It is available for free and if you want i can give you the link for it, if its not an infraction of the rules of this forum.

But as i said, its more of a hindrance rather than help. :)
 

TradeOptions

Well-Known Member
#45
To be Honest, I do not know. I have been trying to develop something along Intraday Lines but without much success. Its really Difficult to trade pairs intraday, as the intraday divergences may or may not converge back.
I have similar views. Intraday pair trading does not looks very logical to me. I personally think divergence and convergence takes LONGER TIME, which is not available within the intraday trading time frame. Such pair trading makes sense only for positional type of traders and not for intraday traders.

Thanks and regards
 
#47
dear big short,
can you share the excel sheet which you used to calculate the co-integration for one pair.
thank you.
I have since moved and automated my system, so i dont have the excel sheet with me right now. But i ll take it from my old laptop and post it here with in a couple of days. But that excel sheet is just for co integration, I hope it will help you in your search for profits :)
 
#48
Hey i don't understand why would anybody in his right mind would wait for a drawdown of 10lacs. I beleive we are all talking about technical Analysis. Why wait so long just to confirm that you are wrong. Keep your trading simple. Just read the tape and follow some very simple yet powerfull rules. Never be long when the prices are below 36EMA and never be short when prices are above it prferably in Hourly or daily. (It can be any EMA/TEMA/SMA of your choice 36 works for me) but pls follow it. Sure you may encounter Whipsaws that is acceptable but not a drawdown of 10 Lacs. (I have a simple solution for dealing with these whipsaws, will discuss them some other time) Just because something looks cool donot follow it. Admit it when you are wrong. Do not have an ego. Surely 10lacs drawdown is not acceptable by any stretch of imagination guys. We are traders not gamblers. Do not wait so long so as to make a hope trade. You know the joke about longterm. Well it is a trade we name after the short term trade goes wrong.
 
#49
Drawdowns would happen only when you are wrong. In this case you are just relying on one parameter SD and knowingly going against the trend by shorting something which is in uptrend, How Gross. Why follow technical analysis at all if you are going to commit such a HARA KIRI.