Hi Jeremy,
Glad the fix to your browser worked and yes I'd like to explore some pairs
trading again.
I've been looking on traderslibrary.com and amazon at the listing of
books on pair trading and I may pick up Whistler's book (~ $50 at TL) or
some other text. It looks like Wiley has a number of texts on the
topic -- amazing. Six + years ago when I first started to
do some there were virtually no books on the topic other than for the
derivative markets or commodities and futures arena. Must be the
"hedge fund factor".
I'm not doing any pairs at present. When I did the hardest thing
for me was identifying viable candidates to pair. As I recall, I've done
NVLS-KLAC, Kmart - Sears (long long ago, may have been my first?), and some
others. Now with AB's AA, it may be much easier to take a sector and
spot the divergent performers and backtest some strategies that would involve
multiple positions and cross leveling. I'm no math whiz either -- it's a
subject that has always fascinated me, but which I had to constantly study just
to stay proficient. Suffice to say, it's been years since I had any formal
math class and when I tried to review my son's high school calculus
homework several years ago, I discovered how much I truly had
forgotten. As for statistics .... well let's just say that there are three
types of people, those that understand statistics and those that don't.
<VBG> A basic book may be what I need.
Peace and Justice --- Patrick
----- Original Message -----
Sent: Wednesday, June 29, 2005 1:46
PM
Subject: [amibroker] Re: Trading Pairs By
Mark Whistler
Patrick,
Mark's book is titled Trading Pairs
Capturing Profits and hedging
risk with Statistical Arbitrage Strategies
is published by Wiley
2004. The book is a simple introduction to
equity pairs trading. It
comes with a CD containing excel
spreadsheets detailing his
approach. The book spends a fair amount
of time teaching the reader
how to build a pairs spreadsheet model in
excel. For the reader who
can remember stats class and is already
familiar with pairs trading
the book is likely to be elementary.
Since I never took statistics
and can't remember any calculus and freely
admit to being a math
simpleton working through the examples in excel
helped me to get a
good feeling for Marks trading style. Mark states
his approach is
not a mechanical system but my exploration of his approach
in excel
suggests with modest modification his approach might make a good
system. The problem is I have been a MetaStock user for the past 5
years and simply put there is no way in hell the current version of
MS
can be set up to back test a pairs strategy. Let's not even
bother
to mention the fact that MS doesn't offer portfolio level
back
testing. I also admit to being an AmiBroker coding simpleton; so as
you can see I have an uphill battle. If you would like I can email a
sample pairs spreadsheet detailing what I am hoping to create in
AmiBroker.
Jeremy