Kevin_in_GA
4,599 posts
msg #103467
- Ignore Kevin_in_GA |
11/25/2011 1:46:56 PM
Unfortunately not - it is Jessica Biel.
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glgene
616 posts
msg #103490
- Ignore glgene |
11/27/2011 5:19:17 PM
Kevin,
Was reading IBD this weekend, and after seeing an ETF Special Report on pages A11-A12,
I thought I would bring this to your attention, since you use ETFs in some of your SF scripts.
I think you run circles around some of the examples given in this 2-page special.
If you get the chance to read the Monday, Nov. 28 issue of IBD, you'll see what I mean.
Many thanks for your fine posts revolving around ETFs.
Gene in OH
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miketranz
969 posts
msg #103496
- Ignore miketranz |
11/28/2011 10:37:47 AM
Thanks for sharing your knowledge...
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Kevin_in_GA
4,599 posts
msg #103497
- Ignore Kevin_in_GA |
11/28/2011 12:56:14 PM
No problem. I'm happy to share my thoughts on this with anyone who is willing to listen. Everything I have on the web site is derived from what I have freely shared here - it is really more about making a public record of my analyses and calls so that I stick to the system and avoid emotion-driven decisions.
I realize that my approach may not be what some folks here are looking for, because it is not "trading" but rather "allocating". However, if the goal is consistent growth of capital with lowered risk, the method delivers. It is simple and effective.
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Brassear
8 posts
msg #103503
- Ignore Brassear |
11/28/2011 4:28:21 PM
This is one impressive and USEFUL investing site. You get right to the point which is what most investors are looking for.
What is your plan for posting your pairs trading details?
I tried pairs trading via options a few years ago and it was very profitable.
Many thanks for your efforts.
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Kevin_in_GA
4,599 posts
msg #103508
- Ignore Kevin_in_GA |
11/28/2011 10:03:26 PM
Brassear - I updated the web site with about 20 highly cointegrated pairs that have performed exceptionally well over the last 4 years. I'll set up another page in this section that will show a running tally of the equity curve and which trades are currently in play.
Thanks for the feedback!
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03bsbme
20 posts
msg #103510
- Ignore 03bsbme
modified |
11/28/2011 11:26:16 PM
Nice work Kevin. I was wondering how you are calculating the cointegration value.
Edited to add that in the Sector Rotation Section you have the TAA Table on the current selection page. I'm assumming you want the XLU-XLI Table there. Probably a simple matter of pointing to the wrong file.
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Brassear
8 posts
msg #103523
- Ignore Brassear |
11/29/2011 8:21:02 PM
Kevin - thanks for posting the pairs. This is very good stuff.
I think you should charge for this site. It's the constant maintenance of the site that will wear you down over time. If you are compensated, it might provide incentive to keep it going.
FWIW, one of the best investment blogs ever was filtering wall street:
http://filteringwallstreet.blogspot.com/
Which was unexpectedly abandon in 2007.
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sierraseller
23 posts
msg #103539
- Ignore sierraseller |
11/30/2011 11:03:41 AM
Thanks for posting the pairs in the pairs trading section. Very compelling info!
Are the entry rules and correlation calculation - selection criteria available in previous threads? Once again ,,good job!
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Kevin_in_GA
4,599 posts
msg #103540
- Ignore Kevin_in_GA
modified |
11/30/2011 12:02:42 PM
Trade rules:
1. The ratio of the stocks is used rather than the spread. The ratio will be Stock A / Stock B.
2. Lookback period is 35 days.
3. Trades are entered when the ratio closes more than 2 SD from the 35 day average (basically look at for a close outside of the BB(25,2) for the pair). For >2 SD above the mean, one shorts A and goes long B. For >2 SD below the mean, one goes long A and shorts B.
4. Trades are exited when the ratio crosses back above/below the MA(35).
5. Max hold is 30 days.
Pair selection:
1. Cointegration must be 0.98 or higher
2. Correlation over the past 252 days must be 80% or higher.
3. Pairs must have shown a win% over the past year of at least 80%, and an average return of at least 2% per trade.
This still left me a lot of pairs (like 85) so I selected only the strongest pairs from the list, culling it down to 60 pairs that I will monitor and trade mechanically. I should point out that these were selcted from 124500 possible pairs - every possible pair within the current S&P 500 stock list.
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