Thursday, October 01, 2009

All That Glitters. . . . .

Continuing with our failed JTT pairs model, the original ETF commodity pairs scan suggests that E-Tracs Platinum PTM might, in fact, offer some better trading opportunities.
The PTM pairs basket shown is just to illustrate the range of ETFs and stocks that work well with PTM. This type of robustness is a necessary component of most longer term pairs.
In addition, this particular basket provides a nice spread of lookback (N) days and in the 3 selected pairs analyses shown below both the max drawdown and percent winners are more than encouraging.
There is a downside here and it's the same one that doomed JJT . . . the lack of volume.
Bid/ask spreads are also normally in the .06-.08 range and alas, there are no options.
That being said, PTM does typically trade 100K shares daily and while the big prop shops aren't likely to pile on this one, a small retail trader can probably pull a few bucks out of these low risk pairs without a lot of exposure.

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