evo34
82 posts
msg #110992
- Ignore evo34 |
2/5/2013 12:15:34 AM
BarTune, Curious what correlation minimums you use for finding pairs, if you don't mind sharing. Also, do you filter out stocks with recent upgrades and/or earnings? Thanks.
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BarTune1
441 posts
msg #111063
- Ignore BarTune1 |
2/5/2013 8:58:47 PM
On pair trade finder I was shooting for 80% correlation and cointegration. I added other pairs that backtested well. Currently, however, my watchlist has wide divergences from what I had originally added as many of the relationships have deteriorated. What I will do everyonce in a while is re-run the groups to see if the relationships still hold.
Right now many of the pairs that trigger don't necessarily show high cointegration so I pretty much eyeball all potential plays on stockcharts. I do look at the fundamentals of the pairs that I enter and often I enter after an earnings disappointment or surprise as that is often the event that causes the price divergence.
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Quilln
116 posts
msg #111073
- Ignore Quilln |
2/6/2013 9:44:29 AM
wkloss,
Having difficulty loading in the correct SQL. Which SQL was successful. I have windows 7 ultimate x64.
Also having difficulty loading the PairTradeFinder software.
signed up for Pairslog as well.
Best regards,
Quilln -
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Kevin_in_GA
4,599 posts
msg #111074
- Ignore Kevin_in_GA |
2/6/2013 9:51:48 AM
I have this loaded properly on one computer, but just got a new computer and can't get it properly loaded either. I will email Jared at PTF to figure this out, and I'll let you know what he suggests.
There has not been an update since 3.04, which came out over a year ago.
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BarTune1
441 posts
msg #111095
- Ignore BarTune1 |
2/6/2013 6:48:09 PM
I had a hell of a time loading up PTF the first time on my laptop but was able to load it on a second desktop computer fairly easy the second time around. I acquired the software in May of 2011 after Kevin discovered it. It was a little frustrating to use at first but I've done very well overall with it.
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Kevin_in_GA
4,599 posts
msg #111096
- Ignore Kevin_in_GA |
2/6/2013 7:10:22 PM
The software works great (once you get it running). Intellectually, I keep coming back to pairs trading due to its strong statistical underpinning. No other strategy I have seen uses stats in such an effective way. My problem is that their are other more profitable systems that outperform pairs over the long run.
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wkloss
231 posts
msg #111149
- Ignore wkloss |
2/7/2013 1:01:12 PM
Quilln
I got it to work for about 2 days. During that time I thought the software was great. An alternative to PTF is http://www.pairslog.com. For now its free and their autotrader portfolios (which are misnamed because right now there is no way to autotrade them) appear to offer decent returns. I suspect Bartune or Kevin could find some tweaks that would substantially improve their results.
IMO, pairtrading seems like a lot of work and I agree with Kevin's observation that there are better ways to make money trading. If you look at the graphs on pairslog, they suggest that pairtrading may be consistent and not suffer from severe drawdowns. The graphs don't go back to 2008 so how it did then is anyone's guess.
Bill
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Kevin_in_GA
4,599 posts
msg #111155
- Ignore Kevin_in_GA |
2/7/2013 2:13:12 PM
I'm sure BarTune1 will disagree with me on my comment regarding pairs trading versus other systems, as he has done well using pairs over the past few years. To me if it were as simple as trading cointegrated pairs then everyone would be doing it and making tons of cash. The challenge lies in finding good profit using pairs and timings that have not already been targeted by larger prop firms and hedge funds.
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Quilln
116 posts
msg #111158
- Ignore Quilln |
2/7/2013 3:26:04 PM
Kevin_in GA writes in part "The challenge lies in finding good profit using pairs and timings...."
Any where near Cartersville, GA
re: msg #111102 2/6/2013 11:25:03 PM
re: long term pairs trading or short term trading as well. both are profitable.
re: Tetter Totter Principle......https://www.ytemagazine.com/images/stories/Frontpage/seesaw.jpg
Buckle up for saftey reasons.
click on my name and seek out the above message # on sheet one (1)
kruz on down to the paragraph starting with MDP (million dollar portfolio). be advised that there was a typo error in the SMH sector where it should read SSG instead of SSD. my fault. When viewing the SSD chart, just change the ticker symbol to SSG. SSG is going down town, while USD is going up town since the xover on or about December 17th for a nice profit so far. Patience and Discipline is needed in waiting for the next xover.
you may call it Pairs, I use the Teeter Totter principle with only 2x and 3x etf's with just a few simple rules to go by. It is boring.
Long term 13ema over 50ema xovers apply.
Short term, Day Trade them on the TOS Charts using the LBR_studies with also 13/50 1 day 1 minute charts. bread and butter stocks are GASX / GASL (trade this pair all day long) , FAZ / FAS etf's. There are others messages in my portfolio explaining how to do the setups.
Hope this helps.
Best regards,
Quilln-
p.s. Bean doing this since May 1st, 2007 after getting layed off at high noon that day.
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Kevin_in_GA
4,599 posts
msg #111164
- Ignore Kevin_in_GA |
2/7/2013 3:51:24 PM
@Quilln - Alpharetta. We periodically go to Tellus in Cartersville since my girls like that museum.
As to pairs trading, it is not using the paired 2x/3x ETFs but rather two independent but historically correlated stocks that are currently trading outside of their normal relationship. One takes a long position on the underperformer and shorts the overperformer betting that the pair will revert back to its normal relationship.
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