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| Kevin_in_GA 4,599 posts msg #127871 - Ignore Kevin_in_GA |
4/6/2016 10:29:29 PM I haven' really posted any new filters in a while, and thought that for those who are interested in pair trades this might be helpful. I typically use a 14 day BB approach on the pair ratio, with entries above or below the BB(14,2) bands. Exit is on the cross back above/below the center line. You can adjust the trade size, look back period, and entry exit points to suit your own style. Kevin |
| graftonian 1,089 posts msg #128415 - Ignore graftonian modified |
5/11/2016 6:22:49 PM Kevin:I Read through your pair trade filter, and tried some of the tricks on the UPRO-SPXU pair. I've messed with this pair for for a while , and watching the slope of the MA(3), and the relative position of the RATIOPCT works better than anything else I've tried. I have not worked out the entry and exit criterion yet, but ran manual 1 year backtest using Enter UPRO when RATIOPCT < -2 and MA(3) slope > 0 Exit UPRO when RATIOPCT > 2 and MA(3) slope < 0 (Switching to SPXU) Wash, rinse, repeat One year result : $5000 trades, 12 round trips, 96% Gain (with compounding less comissions) 11-2030 POSTED WRONG VERSION, MODIFIED |
| Mactheriverrat 3,157 posts msg #128418 - Ignore Mactheriverrat modified |
5/12/2016 12:42:07 AM Both great filters . I wonder if these filters could be done using 1 or 2 moving averages and where the price is compared to that average say the EMA(13). with both of these filters and the four stocks one might add the EMA(13) for sure and the MA(50). One can see some really great gains using the EMA(13) and how the price crosses above or below that line and starts pulling that average in the direction of the trend. One can clearly see both bull , bear and a few sideways trends using that EMA(13) Just saying. I was hooked on the EMA(9) but now the EMA(13) keeps price with in a trend. Then again each stock has its own personality  BTW can one of you post the filter using the EMA(13) rather than the MA(14) Thanks |
| graftonian 1,089 posts msg #128419 - Ignore graftonian |
5/12/2016 9:56:45 AM Mac, Thanks for the input. I will try and make the changes and re-post. |
| fotchstecker 304 posts msg #128450 - Ignore fotchstecker |
5/13/2016 10:03:17 PM Kevin, what criteria do you use for picking pairs to begin with? |
| Kevin_in_GA 4,599 posts msg #128488 - Ignore Kevin_in_GA |
5/16/2016 1:28:32 PM I use several sites and pieces of software - currently using www.pairtradinglab.com to validate pairs I pull from using another piece of good pair trading software (PairtradeFinder). Pairtradinglab.com has an extensively analyzed pairs database that you can access if you are a premium member, as well as an automated trading capability through IB to place trades based on specific entry/exit criteria for any pair (I use 14 day window and a Z-score of 2 or more, other traders I know use 100 days and a Z-score of 2.7 for entries). Highly customizable. |
| fotchstecker 304 posts msg #128491 - Ignore fotchstecker |
5/16/2016 3:01:01 PM Thanks, Kevin. Hope all's well over by you. |
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