Just a personal observation, but there seem to be no active pair trading systems currently. There are long/short systems that are discretionary in execution, but none that trade correlated pairs and are driven by robust statistical underpinnings. Just seems odd.
Being a wildly analytical person these systems are of great interest to me, and as a system developer I already know they are easy to construct and trade mechanically.
I’m curious as to the level of interest here in such systems. Feel free to post your thoughts here.
Maybe you have missed Parcours Commodities system that is a purely analytical and mechanical commodity spread system - calendar and inter market.
[LINKSYSTEM_66262344]
>Maybe you have missed Parcours Commodities system that is a purely analytical and mechanical commodity spread system - calendar and inter market.
The results of this system are impressive. However, the system description states that it is a "discretionary portfolio based on seasonality". Which is it – mechanical, discretionary or a combination?
Thanks.
Gary
Glad to see that you are trading the spread - my point is that with over 900 active systems there is no stat arb systems for stocks (yours is for futures). Just seems like a gap in the fabric of trading systems here.
Hi,
Indeed the execution is discretionnary but the spread selection process is mechanical.
Thanks
[LINKSYSTEM_66262344]
Hmmm. Those could work very nice for futures too, (stocks obvious, compared to indexes).
Just done some back testing based to silver/gold (maybe should add some results from backtest based to the next indicator:
http://pvoodoo.blogspot.com/2013/07/pvpairtradenormalizedi-indicator.html?view=flipcard
)
- Marko Rantala / PVoodoo
And maybe add that to my test portfolio…
not for PV Silver: [LINKSYSTEM_78062017] yet
Yes, this is a solid but underappreciated trading strategy.
I just opened a new system here on C2 to help folks do this with stocks - [LINKSYSTEM_81983273].
I’ve been looking at pair trading for a while and think that it has some very real advantages for many traders - given that there are quite literally millions of possible combinations, the key is to figure out which pairs to trade and when.
I would be very interested in a pairs trading strategy for futures. Would your stock trader work on futures? Do you happen to have backtest results (didn’t see them on your stock chart). Thank you!
Well, you pick pair trades based on past successful performance, so a backtest is going to look mighty good but be meaningless.
As to it working on futures, I can’t really comment. The system I just put here on Collective2 - [LINKSYSTEM_81983273] - uses only EOD stock data so I can’t tell you how it might translate to futures.
