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Hi John
!
<FONT face=Arial
color=#0000ff>
I think so
yes, reason being that not one of them will change the same in value... I have
tried it before when I discover a good share in consolidation phase with low
volatility...I would then buy the share via my stockbroker, but the short side I
unfortunately have to do via Spread trading of CDF's for that matter...the
situation here in SA is not the same as with you guys... but they ripped me off
heavily buy adjusting their spreads all the time into both directions...thus no
joy there...
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color=#0000ff>
So now I'm
out to long the whole lot with my normal stock broker ... but buy balancing the
portfolio with properly selected shares basedon volatility and/or correlation,
it is possible to smoothen out the equity curve a bit and reduce the
overall volatility of the portfolio in whole... for this a 100% non correlating
option would no go down to well I think...
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color=#0000ff>
Thanks for
your thoughts it is not wasted as you got me thinking of another plan that I
have not previously thought of...I will let you know as I take it further
!
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color=#0000ff>
Kind regards
& happy trading !
<FONT face=Arial
color=#0000ff>
Louw
Coetzer
<FONT face=Tahoma
size=2>-----Original Message-----From: john gibb
[mailto:jgibb1@xxxxxxxxxxxxx]Sent: 24 November 2003 06:13
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: To Correlate or Not to Correlate, that is the quuestion
!
Hi Louw.
I have no actual pairs trading experience but
wouldn't '100% opposing' be the ideal A-will-outperform-B scenario? Couldn't
you then go long A and short B, with stops of course, once you get a signal
that A is likely to rise?
-john
PS: you might find this article of interest <A
href="">http://www.thestreet.com/comment/openbook/1155546.html
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=louwcoetzer@xxxxxxxxxxxxx
href="">Louw-Roux Coetzer
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, November 23, 2003 10:52
PM
Subject: RE: [amibroker] Re: To
Correlate or Not to Correlate, that is the quuestion !
Thanks JS
- forgot about that one OOPS !
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Cheers
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Louw
<FONT face=Tahoma
size=2>-----Original Message-----From: johanskatt
[mailto:johanskatt@xxxxxxxx]Sent: 23 November 2003 04:29
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: To Correlate or Not to Correlate, that is the quuestion
!The Correlation function might be useful.<A
href="">http://www.amibroker.com/guide/afl/afl_view.php?name=CORRELATION/JS---
In amibroker@xxxxxxxxxxxxxxx, "Louw-Roux Coetzer"
<louwcoetzer@xxxx> wrote:> ECM StationaryHi there all
!> > > > I have tried to think of various
methods to find a matching Non-Correlating> match for a
particular shareA ...I thought of doing this by adding the
close> for shareA to the shareB and dividing it by 2 to get
an average price...I> would then use some form of standard
deviation to find out how much shareB> is deviating from the
average - the share that deviates the most would then> be the
most likely candidate - now I am convinced this would not work as
it> only suggests that shareB is more volatile than anything
else...> > > > What I am trying to do is to
scan a short watch list and to find say 2 or 3> pairs (
2shares/pair). The 2 shares in each pair must be non-correlating
to> a certain extent in order to lessen risk if both are purchased
( almost like> what Gary was talking briefly about in his
presentation ). Obviously the> shares in the pair can not
be 100% opposing as then no money would be> made...My mind is
still a bit baffled about this and any suggestions and>
guidance in the right direction would be greatly appreciated... I
am not> asking for an AFL Super Formula on a platter...only to
be pointed into the> right line appoach...I will try to create
the code myself ( the only way to> learn I believe ) and if
stuck will ask for a little push...> > > >
Kind regards> > > > > > Louw
Coetzer> > > > > > >
> >
---------------------------------------------------------------------------->
----> Louw-Roux Coetzer
- louwcoetzer@xxxx>
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