Cointegration-/Pairs-Trading

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TopFroxx

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TopFroxx said:
up to 1.1 at 103.13.
portfolio allocation hasnt changed much, still uj long largest position
scaled up to 1.2 at 102.80 yesterday, scaled back to 1.1 at 102.60. so i realized a net loss on that scaling action, it had to happen eventually. will wait for a clearer picture, which will probably not materialize before tomorrow. potentially scale up at 102.20, but not without a break in H1 MS. want some confirmation on this one and play it a bit safer
 

TopFroxx

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aaand back to 1 on retest of 102.60 from below. unsure what to expect so i feel more comfortable with no increased risk at the moment.
 

jack

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Nice work.. :)

Any thoughts on how you measure risk? Is it by the single currency exposure (like net JPY across all positions) or between pairs only?

I mean, if you're holding a basket and just increasing or decreasing weightings more so than taking a position off the table entirely.. what goes into your measured risks when making changes to exposure?

Also, with your drawdown estimates from earlier, was that while floating positions or on realized downside?

Just curious.
 

TopFroxx

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hey jack,

the drawdown is all based on floating profit/loss. that goes for the backtests as well as the current live results. while the maxdd with floating loss is 7.4% on the live account, the realized maxdd is only 2.8%.

as to how i measure risk i am unsure what you mean. in my manual trading i can measure risk with lot sizes and stop losses, giving me a percentage of my account i am risking. with this method i dont have any stop losses, just the lot sizes. and the lot sizes are determined just historically evaluating what is possible without risking a margin call. if that didnt answer your question could you try to explain what you were going for?

cheers
 

TopFroxx

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ok, cant fight the calculations. after yesterdays data and calculations matlab increased pretty much all positions by about 20%.
current allocation is attached. also you find attached the "exposure" tab, provided by oandas fxtrade platform. it shows the exposure to each currency, measured in euros. you can easily see that usd lond and jpy short make the two biggest exposures.
 

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TopFroxx

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TopFroxx said:
the drawdown is all based on floating profit/loss. that goes for the backtests as well as the current live results. while the maxdd with floating loss is 7.4% on the live account, the realized maxdd is only 2.8%.
i need to correct myself, it's not true for the backtests. since i only have daily data it is floating profit/loss at each daily close! i would need tick data for the "real" floating maxdd. so the "real" max drawdown will be higher than the max dd i calculated in my backtests.
 

TopFroxx

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scaled up to 1.1 just prior to news on the little fake drop to 102.65. nailed that low to the pip this time. back to 1 at the break of todays highs at 102.93. not a huge profit, but still. i prefer 0.2% extra gain over no extra gain :p
 

Tansen

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I've been waiting for a UJ short for a while ever since I saw the COT lol.

Also I want to mimic what Alishijo usually does which is usually take just under 1000 pips and have quarterly to annual trades that he rides all year
 

TopFroxx

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Tansen said:
I've been waiting for a UJ short for a while ever since I saw the COT lol.

Also I want to mimic what Alishijo usually does which is usually take just under 1000 pips and have quarterly to annual trades that he rides all year
sorry for my foolishness, but who is alishijo?
also i really hope my strat is going to recognize when to get out of uj before that kind of a drop. that will be the true test. on the other hand a 1000 pip drop on uj at current exposure would approximately be the historical max dd for the strat. lets hope it wont come that far :)
 

Tansen

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TopFroxx said:
sorry for my foolishness, but who is alishijo?
also i really hope my strat is going to recognize when to get out of uj before that kind of a drop. that will be the true test. on the other hand a 1000 pip drop on uj at current exposure would approximately be the historical max dd for the strat. lets hope it wont come that far :)
Alishijo is a guy back on babypips who took the bonds concept from ICT or more so from Larry Williams and worked in a way to net a few hundred to thousand pip positions all in one trade. He's the type of guy who considers trading 3-4 times a year a "busy year" but he typically takes 1 maybe 2 and he primarily focuses on yen pairs.
 

TopFroxx

Well-Known Member
Tansen said:
Alishijo is a guy back on babypips who took the bonds concept from ICT or more so from Larry Williams and worked in a way to net a few hundred to thousand pip positions all in one trade. He's the type of guy who considers trading 3-4 times a year a "busy year" but he typically takes 1 maybe 2 and he primarily focuses on yen pairs.
do you have any source about him and his trading style? interested in learning more
 

Tansen

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TopFroxx said:
do you have any source about him and his trading style? interested in learning more
The only thing I could ever get out of him was to watch the yields, if the JPY yields are dropping along with the USD in the 10 year (the example he gave me), it's reasonable to expect his long play into the USD/JPY (this rise that happened like mad he was in trying to explain to me its a safe bet) the yields were going down no question about it and market structure suggested bearishness, he then said since the japanese yen yields are going to shit it will drag their futures down with it therefore causing the USD to be more favorable therefore he was long

There isn't any source content all I got was a few email msgs out of him and he disappeared back to this weird thing he called "a life".

The only reason I know it was potentially based on some of the Larry Williams stuff is because Clark used to gather data for him via excel and I know Clark and asked him.
 

Tansen

Well-Known Member
Sorry to clarify he said the Yen yields were dropping faster and harder, therefore he was more bearish on the yen as opposed to the USD which was still bearish as well but, not as bad as the yen.
 

TopFroxx

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scaled back to 0.95 near the end of fridays trading. will be waiting for a clearer picture, might scale back even more. big week lying ahead with possible QE taper or non taper. more and more people expecting a sooner taper decision, if they get disappointed uj might drop quite a bit. will be defensive and careful this week, dont want to give up my profits.
 
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