Pairs Trading

Sorry for my absence but sometimes real life does get in the way ...!

Fred has had a rather poor start opening his career with some awful long picks at what may possibly be a long term market top. The shorts although a little in the green have not performed enough to make up for the longs and hence Fred is down to date.

It is still very early days yet...I am excited about this. Generating trading signals from out of the www fascinates me and is a project I will continue with regardless of any short term failures and lack of interest from anyone else I talk to about this endeavour (eyes glaze over at the mere mention of the word 'stock'!)

I have made a few adjustments to Fred in order to refine the quality of the signal. From now on all trades will be paired (same sector, long short). Unlike most pairs trading however I will not be looking for price to converge to the mean but rather will be trying to predict their divergence. A rather crude neural network has been 'bolted' on to Fred. The idea behind this being Fred will be able to select what he deems to be high probability trades...

So for every trade Fred selects ,an opposite trade in the same sector also needs to be selected. If Fred can not find a pair then no trade will be taken. Also note that a component of the DJI30 will on most occasions make up one half of the pair.I have done this in order to keep the vast memory requirements down to a couple of  TB's

Right ,with that in mind, here are the pairs to be opened on Monday 27/6.

PSMT long / WMT short
BMY long / PFE short
PTR long / XOM short
HANS long / KO short
BEAV long / BA short


Regards,

Cruncher