|
PureBytes Links
Trading Reference Links
|
Yuki
17.5% in 4 months is a lot more than I was
anticipating!!!
Good trading
Ara
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Yuki
Taga
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">Ara Kaloustian
Sent: Saturday, April 19, 2003 8:33
PM
Subject: Re: [amibroker] Pairs Trading (a
definition for Dingo)
Hi Ara,Sunday, April 20, 2003, 11:50:29 AM, you
wrote:AK> I tried playing DIA / SPY pair... which worked OK in just
a shortAK> time frame (days / weeks), but the % return seems
limited.AK> Example: 100 shares DIA = $8,000 ......... 100 shares
SPY =AK> $8,500 (approximately). Total capital tied up $16.5K (or
$8.25KAK> on margin)AK> The % return is the differential
price movment ... so relative toAK> individual issue price movements it
reduces your take (and risk)AK> significantly, especially when you
consider paying (at leastAK> tying up your money) for 2
items.You have to tie up capital for both, and commissions are charged
onboth.AK> In short, what kind of % return (of your tied up
capital) are youAK> getting to keep you happy and roughly how
long is a typicalAK> trade?AK> Have a great dayLast
one I did was short 40,000 Nikko (8603 JP) at about 520 and long40,000
Daiwa (8601 JP) at about 530, in late October. So, that tiedup about
400,000 basis US dollar, and I closed the position in earlyFeb for about
US 70K net after everything. I left about 25K on thetable, but now
the trade is about 20K less than when I got
out.Best,Yukimailto:yukitaga@xxxxxxxxxxxxxSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|