mahkoh
1,065 posts
msg #103277
- Ignore mahkoh |
11/9/2011 5:51:56 PM
Pick a couple of etf's with the lowest z score and open a pair trade against those with the highest z score. My theory is that those with extreme z-score values should at some point reverse to the mean. Difficult to backtest but looking back by offsetting the date seems to generate positive results. Probably shouldn't use leveraged etf's.
Any thoughts?
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Kevin_in_GA
4,599 posts
msg #103284
- Ignore Kevin_in_GA
modified |
11/10/2011 11:25:42 AM
The "long-short" pair trading you are describing here needs some tweaking. I (of course) looked at both long and short versions of this, but in the end the long version was by far more profitable than the combined system. Could be the settings, but this approach is best validated through backtesting and selection of a limited set of ETFs that have shown historical mean-reversion against EACH OTHER, rather than the SPY.
In concept this makes sense and should work fine. In practice there are other more statisitically rigorous ways to do this that I personally would be more comfortable doing.
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Kevin_in_GA
4,599 posts
msg #103286
- Ignore Kevin_in_GA |
11/10/2011 12:51:43 PM
Intraday BUY signals:
AAPL - Zscore16 at -2.48, W %R at -97.8. Currently at 383.11
GME - Zscore16 at -2.25, W %R at - 99.5. Currently at 24.46
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duke56468
683 posts
msg #103302
- Ignore duke56468
modified |
11/11/2011 12:06:54 PM
GME crossed above the -1 z-score intraday, you may want to exit or place a close stop since it was only on intraday that it was discovered
GME - GAMESTOP CP 25.26 2.68 873,374 +0.25
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Kevin_in_GA
4,599 posts
msg #103342
- Ignore Kevin_in_GA |
11/14/2011 6:17:52 PM
End of day BUY signal for AAPL.
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Kevin_in_GA
4,599 posts
msg #103356
- Ignore Kevin_in_GA |
11/15/2011 11:09:56 AM
Intraday BUY signal for GME. Currently at 23.99.
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Kevin_in_GA
4,599 posts
msg #103370
- Ignore Kevin_in_GA |
11/16/2011 9:55:38 AM
AAPL - intraday exit signal (zscore is at -0.62). Currently, AAPL price is 389.91.
This trade netted just over 2% in 2 days. Not astounding, but this happens all the time from this filter and over time this consistency adds up.
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jackmack
334 posts
msg #103371
- Ignore jackmack |
11/16/2011 10:19:20 AM
Very nice Kevin - very nice.
Thank you for sharing this
jackmack
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Kevin_in_GA
4,599 posts
msg #103379
- Ignore Kevin_in_GA |
11/16/2011 6:57:25 PM
End-of-Day BUY signals
TSO
CMG
MPG
I also got a hit on ACE, but at the very last minute it closed a hair over the lower BB so it dropped off the BUY signal list. Still a possible play if you are not a purist on this filter.
AAPL confimred a SELL signal at end of day today, but was below my intraday call at 389. I like the intraday approach.
GME was a laggard today, closing down -4.4%, with a Zscore at -2.85.
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duke56468
683 posts
msg #103383
- Ignore duke56468 |
11/16/2011 9:32:28 PM
ACE did show up again at -2.12
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