Friday, October 02, 2009

Qs Pairs Basket - Part 2

Despite the JJT and PTM diversions this week, I'm still working on the Qs pairs basket and have expanded the preliminary Qs matrix as shown above. I had fully intended to conclude the Qs pairs study this week, but sometimes you've just got to go where the research takes you if you want to uncover the nuggets.
Next week I'll run the complete Qs pairs basket analyses and define several metrics for determining what's hot and what's not on the basis of a daily update.
Going forward into November I've got two new projects that have consumed much of my time time recently and will no doubt consume much more going forward:
# 1. A series of studies I'm calling GEconomics, including systems and pair trading approaches.
Since I actually trade GE more frequently than the Qs and hold bigger positions, it seems wise to devote some investigative efforts to assure maximum risk management controls are in place. Being a stock, GE is a little more problematic to trade than the average index ETF, but initial forays have been encouraging. Because of it's consistently high daily volume (almost always in the NYSE top 10) and it's relatively high daily ATR , GE offers some unique trading opportunities and I'll endeavor to profile a few of them.
# 2. Another series of studies involving VIX and VXX pairs. The preliminary research on this front is stunning to say the least and really devolves into a variation of my VIX Advantage studies a while back. The difference here is that by creating a VIX/xxx pair and using the reversals of the VIX z-scores to trigger trades we goose our single sided Ticker A performance considerably.
For those that haven't been following my pairs-related posts for the past month this may sound like a lot of mumbo jumbo. Sorry, but that's where I'm headed.
Reread earlier September pairs posts to catch up and/or get a 3 day trial subscription to the Rewind matrix and pairs trader with no obligation to try out the possibilities for yourself.

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