Algokid

PAIR TRADE ( IND. OIL & GAS)

NYSE:CNQ   CANADIAN NATURAL RESOURCES LTD
375 4 2
correlation : 96 %
co-integration : .92


LONG CNQ             @ 38.75
SHORT PXD             @ 108.35

my only concern is the dispersion of about 27 % between the two stocks. But with a co - integration of 0.92 , i'm confident that the trade will be successful. Avg day in trade ( based on past 3 years) is 9.33 days.
finally closing this pair with a loss
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Hi Tim ,

I will make sure to better identify the stocks next time, basically you short the stock in red and long the one in green. As for the dispersion between the stock, this is my biggest concern here. I allocated 1/3 of what I would normally put in pair. We'll see how it goes.
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Can you label your charts to identify which stock is which? Also, when you look further back in time using weekly data, these two stocks have a very wide dispersion of returns. I don't want to vote down this pair, but I don't agree with this trade based on what is presented. Cheers. Tim
Reply
To Gatorsaw (Concerning AOL/YHOO) , please the attached chart. It 's a great pair , but the correlation is a bit low for me (57 %). If you have a greater risk appetite then i would go for.

By the way , pairtradefinder.com have an excellent platform, I'm currently using their 30 day trial platform, makes thing so easier. Dunno if i'm willing to spend the $300 fee for it but , we 'll see in 22 days or so. So far so good. I dont have a twitter account but i have a stocktwit account , the address is : http://stocktwits.com/algokid

PAIR TRADE ( AOL/YHOO)
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