StockFetcher Forums · General Discussion · SOME PAIRS TO CONSIDER<< 1 2 3 4 5 >>Post Follow-up
Kevin_in_GA
4,537 posts
msg #112145
Ignore Kevin_in_GA
modified
3/11/2013 9:42:36 AM

As a follow up to another thread, I had embarked on a comprehensive review of all possible sets of pairs within the S&P500. This amounts to 122,500 possible pair trades. I went back 1 year only, using a 12 day lookback, entering when the pair closed more than 2 SD from the MA(12) of the pair, and exiting when the pair closed back inside 1 SD. This creates a set of short hold trades (typically under 4-5 days).

I looked for pairs that had a minimum of 10 trades over the past year and were 100% profitable, and returned an average of at least 1% on the trades. I did not group these into common sectors or industries - this makes sense but I instead prefer to look at success rates rather than finding pairs that are paired by industry.

I also removed from consideration any pair where a single trade dominated the stats - often there is one BIG win that skews the averages. I simply removed the best trade and looked at the average of the remainder. I also removed any pair where that single large trade accounted for more than 20% of the total profit.

Anyway, here are a set of 50 pair trades that meet the above requirements. All were traded at least 10 times in the past year with 100% profitability. I am happy to share these with the forum:

Left Code FLR
Right Code HES
# T 10
Profit Per Trade $558.77
Avg Days IT 3.40

Left Code A
Right Code CVS
# T 10
Profit Per Trade $445.62
Avg Days IT 3.30

Left Code ABI
Right Code HSY
# T 11
Profit Per Trade $435.76
Avg Days IT 3.18

Left Code GCI
Right Code STI
# T 13
Profit Per Trade $427.58
Avg Days IT 3.69

Left Code BA
Right Code CAH
# T 13
Profit Per Trade $404.24
Avg Days IT 2.92

Left Code HUM
Right Code UNH
# T 10
Profit Per Trade $398.25
Avg Days IT 3.10

Left Code CIT
Right Code COV
# T 13
Profit Per Trade $392.99
Avg Days IT 3.62

Left Code PBI
Right Code WIN
# T 13
Profit Per Trade $392.99
Avg Days IT 3.62

Left Code GWW
Right Code MCK
# T 13
Profit Per Trade $381.27
Avg Days IT 3.46

Left Code AMP
Right Code DDR
# T 14
Profit Per Trade $378.88
Avg Days IT 3.14

Left Code CPWR
Right Code EIX
# T 13
Profit Per Trade $360.46
Avg Days IT 3.85

Left Code ORCL
Right Code RRD
# T 13
Profit Per Trade $360.46
Avg Days IT 3.85

Left Code RRD
Right Code TAP
# T 14
Profit Per Trade $354.67
Avg Days IT 3.57

Left Code HON
Right Code LEG
# T 10
Profit Per Trade $349.80
Avg Days IT 3.20

Left Code CVS
Right Code CVX
# T 11
Profit Per Trade $343.97
Avg Days IT 3.91

Left Code DDR
Right Code TMO
# T 13
Profit Per Trade $341.62
Avg Days IT 2.92

Left Code ABI
Right Code WFC
# T 10
Profit Per Trade $337.45
Avg Days IT 3.20

Left Code WFT
Right Code WIN
# T 13
Profit Per Trade $333.86
Avg Days IT 3.31

Left Code PCP
Right Code TE
# T 11
Profit Per Trade $332.29
Avg Days IT 3.73

Left Code NI
Right Code WFT
# T 11
Profit Per Trade $332.29
Avg Days IT 3.73

Left Code CMI
Right Code LSI
# T 13
Profit Per Trade $323.61
Avg Days IT 4.00

Left Code COH
Right Code GS
# T 13
Profit Per Trade $321.29
Avg Days IT 3.08

Left Code HAL
Right Code MTW
# T 12
Profit Per Trade $320.28
Avg Days IT 3.42

Left Code KIM
Right Code TDC
# T 15
Profit Per Trade $320.27
Avg Days IT 3.20

Left Code PBI
Right Code WIN
# T 11
Profit Per Trade $317.95
Avg Days IT 4.09

Left Code ABI
Right Code PPL
# T 11
Profit Per Trade $317.73
Avg Days IT 3.27

Left Code AVB
Right Code SEE
# T 11
Profit Per Trade $311.05
Avg Days IT 3.36

Left Code CIT
Right Code STJ
# T 10
Profit Per Trade $306.42
Avg Days IT 4.60

Left Code ORCL
Right Code RRD
# T 12
Profit Per Trade $305.17
Avg Days IT 4.17

Left Code NTRS
Right Code RRD
# T 10
Profit Per Trade $304.44
Avg Days IT 4.10

Left Code MTW
Right Code TIE
# T 10
Profit Per Trade $304.44
Avg Days IT 4.10

Left Code PCL
Right Code SEE
# T 11
Profit Per Trade $291.88
Avg Days IT 4.45

Left Code DFS
Right Code JWN
# T 10
Profit Per Trade $291.64
Avg Days IT 3.80

Left Code ACE
Right Code DE
# T 11
Profit Per Trade $288.10
Avg Days IT 3.82

Left Code A
Right Code CCL
# T 10
Profit Per Trade $287.02
Avg Days IT 3.90

Left Code ACAS
Right Code IPG
# T 10
Profit Per Trade $281.94
Avg Days IT 3.50

Left Code HD
Right Code TMK
# T 13
Profit Per Trade $264.95
Avg Days IT 3.54

Left Code CL
Right Code PPL
# T 15
Profit Per Trade $263.40
Avg Days IT 3.40

Left Code LUV
Right Code OMX
# T 13
Profit Per Trade $261.64
Avg Days IT 3.46

Left Code COL
Right Code NBL
# T 11
Profit Per Trade $260.70
Avg Days IT 3.73

Left Code JEC
Right Code MRO
# T 13
Profit Per Trade $253.85
Avg Days IT 4.15

Left Code ABI
Right Code VAR
# T 10
Profit Per Trade $250.05
Avg Days IT 3.40

Left Code FLR
Right Code MTW
# T 10
Profit Per Trade $245.10
Avg Days IT 3.90

Left Code ABI
Right Code XRX
# T 15
Profit Per Trade $236.58
Avg Days IT 3.73

Left Code ABI
Right Code D
# T 15
Profit Per Trade $233.49
Avg Days IT 4.53

Left Code IR
Right Code KIM
# T 11
Profit Per Trade $231.58
Avg Days IT 4.09

Left Code GM
Right Code SNV
# T 11
Profit Per Trade $229.31
Avg Days IT 3.00

Left Code ABI
Right Code JNS
# T 11
Profit Per Trade $227.11
Avg Days IT 4.45

Left Code ABT
Right Code HBAN
# T 13
Profit Per Trade $226.11
Avg Days IT 4.92

Left Code KR
Right Code PFG
# T 13
Profit Per Trade $220.04
Avg Days IT 3.92




mahkoh
888 posts
msg #112166
Ignore mahkoh
3/11/2013 3:16:22 PM

That's got to be a really large excelsheet! All trades are $10.000 long and $10.000 short I assume?

Kevin_in_GA
4,537 posts
msg #112169
Ignore Kevin_in_GA
3/11/2013 4:27:44 PM

Yes - 10K per side. The spreadsheets were not the problem, as there were less than 200 pairs in total that met the requirements of more then 10 trades and 100% profitability. The challenge was that PTF kept crashing, so i had to do this in small digestible chunks. It ended up taking about two weeks to complete.

leonsf
18 posts
msg #112176
Ignore leonsf
3/11/2013 9:07:07 PM

Hi Kevin,

Thanks for sharing this.

I'm new to this forum, can you enlighten me about the method -- "entering when the pair closed more than 2 SD from the MA(12) of the pair, and exiting when the pair closed back inside 1 SD" -- that you mentioned? Or direct me to the posts that discussed this method?

Thanks.
Leon.


Kevin_in_GA
4,537 posts
msg #112178
Ignore Kevin_in_GA
modified
3/11/2013 9:57:42 PM

@leonsf:

This is common for pairs trading. I would suggest that before you use this to enter any trades you review some of the basic literature on statistical arbitrage and pairs trading (and download pairtradefinder from www.pairtradefinder.com). Once you do that I think you will have answered your own question.

Kevin

mahkoh
888 posts
msg #112185
Ignore mahkoh
modified
3/12/2013 10:32:39 AM

To give you a picture: Go to stockcharts.com and draw FLR:HES to display the ratio of the stocks. Add indicators Bollinger Bands (12,2 )and (12,1). Now if the ratio moves above the outer Bollinger bands you sell FLR and buy HES and you close out when the ratio moves inside the inner pair of Bollinger bands. Likewise if it moves below the lowest band you buy FLR and sell HES

evo34
75 posts
msg #112197
Ignore evo34
3/12/2013 7:56:39 PM

Thanks for posting. I am assuming this would be too much work, but if not, is there any way to forward test this strategy by using, say, 2011, to identify the qualifying pairs and then 2012 to trade them?

Kevin_in_GA
4,537 posts
msg #112200
Ignore Kevin_in_GA
3/12/2013 9:44:01 PM

Not to my knowledge using PTF.

leonsf
18 posts
msg #112201
Ignore leonsf
3/12/2013 11:32:50 PM

Thanks for the info.

pirate67
99 posts
msg #112253
Ignore pirate67
3/14/2013 9:03:09 PM

Mahkoh or Kevin:
Thanks for this thread. In your example of FLR:HES, how is it determined what is left or right? In TOS I figured out how to get a pairs plot, but it defaults to alphabetic order which can be reversed. Are we trying to get a ratio under 1?

StockFetcher Forums · General Discussion · SOME PAIRS TO CONSIDER<< 1 2 3 4 5 >>Post Follow-up

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