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My Pair Trading Journal

Discuss My Pair Trading Journal at the Position Trading within the Traderji.com; Hello A nice presentation explaining statistical arbitrage (pairs) trading http://casl.ucd.ie/hosted/Thomaidis.pdf Cheers...


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  #21  
Old 12th January 2013, 09:15 AM
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Default Re: My Pair Trading Journal

Hello

A nice presentation explaining statistical arbitrage (pairs) trading

http://casl.ucd.ie/hosted/Thomaidis.pdf

Cheers
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  #22  
Old 12th January 2013, 10:47 AM
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Default Re: My Pair Trading Journal

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

GG
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  #23  
Old 15th January 2013, 10:27 AM
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Default Re: My Pair Trading Journal

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/-
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  #24  
Old 15th January 2013, 12:02 PM
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Default Re: My Pair Trading Journal

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
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  #25  
Old 19th January 2013, 11:35 AM
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Default Re: My Pair Trading Journal

Quote:
Originally Posted by GuluGulu View Post
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.

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




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 by PartTime_Trader; 19th January 2013 at 12:31 PM.
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  #26  
Old 21st January 2013, 03:17 PM
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Default Re: My Pair Trading Journal

Quote:
Originally Posted by PartTime_Trader View Post
Need help with the Symbol for Nifty and Bank Nifty Indices to be used with PairTradeFinder. I have tried using ^NSEI & ^NSEBANK
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
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  #27  
Old 21st January 2013, 05:44 PM
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Smile Re: My Pair Trading Journal

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.

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  #28  
Old 22nd January 2013, 02:51 PM
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Default Re: My Pair Trading Journal

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 by ullastp; 22nd January 2013 at 03:27 PM.
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  #29  
Old 25th January 2013, 12:29 PM
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Default Re: My Pair Trading Journal

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.
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  #30  
Old 25th January 2013, 12:43 PM
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Default Re: My Pair Trading Journal

Quote:
Originally Posted by tssumit View Post
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.

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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