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Hi
Dirk
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color=#0000ff>
Thanks for
this one, I am already on my way to these messages...yes it is difficult when
you eventually end up with the knowledge and the there is not adequate products
on our market to accommodate proper strategies...almost like " all dressed up
and no where to go " lol.
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color=#0000ff>
Keep well and
thank you !
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<FONT face=Arial
color=#0000ff>Regards,
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<FONT face=Arial
color=#0000ff>Louw
<FONT face=Tahoma
size=2>-----Original Message-----From: dirk schreiber
[mailto:tianatrading@xxxxxxxxx]Sent: 25 November 2003 12:13
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: To Correlate or Not to Correlate, that is the quuestion
!
hi louw,
several months ago there was a
thread about pair trading on this board with some very interesting posts by
yuki. have a look at message #38336 and #38346.
correlation of 2 stocks (or
rather of their ROC) can go from -1 to 1.
1 means "a perfect match" with
both stocks doing the same moves -- 0 means they are not correlated at all --
and -1 means that one stocks does exactly the opposite as the other, so when
one stock of the pair goes up 3,7% the other would go down
3,7%.
so if you are not able to trade
short with your broker you could *THEORETICALLY* try to find stocks with high
negative correlations and go long on both. but i seriously doubt that this way
you could achieve a market neutral position (which is what pair trading is all
about). if the whole market has huge up or down swings those negative
corelations are not likely to stay that way ...
adios,
dirk
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=louwcoetzer@xxxxxxxxxxxxx
href="">Louw-Roux Coetzer
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 6:13
PM
Subject: RE: [amibroker] Re: To
Correlate or Not to Correlate, that is the quuestion !
Hi John
!
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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 !
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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 !
<FONT face=Arial
color=#0000ff>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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