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Statistical Arbitration

  • #1
  • First Post: Edited Jun 20, 2012 6:52pm Jun 4, 2012 4:21am | Edited Jun 20, 2012 6:52pm
I'm starting a journal logging my trades using Statistical Arbitration.

This is a system I'm following created by McLean Van Cleve.

There's a growing group of users who are also using this system here:

http://www.donnaforex.com/forum/index.php?topic=5989.0
  • #2
  • Jun 4, 2012 4:22am Jun 4, 2012 4:22am
No Signals Today...
  • #3
  • Jun 4, 2012 4:47am Jun 4, 2012 4:47am
Quoting myfxjournals
I'm starting a journal logging my trades using Statistical Arbitration. One of the best traders in the world Jim Simons uses it.
hi.
can you share this method?
  • #4
  • Jun 5, 2012 6:25am Jun 5, 2012 6:25am
I'm using a trading system to help me out.....I opened a myfxbook to log my progress on a real live account...

Basically it uses algorithmic models to generate which pairs are likely to succeed in basket trades.

Its what the commercial hedge fund and institutions use to take market neutral trades...

All the trades are taken manual at this time.....

http://www.myfxbook.com/members/myfx...ow--sap/252385
  • #5
  • Jun 5, 2012 1:24pm Jun 5, 2012 1:24pm
Quoting myfxjournals
I'm using a trading system to help me out.....I opened a myfxbook to log my progress on a real live account...

Basically it uses algorithmic models to generate which pairs are likely to succeed in basket trades.

Its what the commercial hedge fund and institutions use to take market neutral trades...

All the trades are taken manual at this time.....

http://www.myfxbook.com/members/myfx...ow--sap/252385
ok.
where is it possible to read about the strategy?
  • #6
  • Jun 5, 2012 5:53pm Jun 5, 2012 5:53pm
You can visit my blog below if you want to learn about StatArb...

Quoting vanjok
ok.
where is it possible to read about the strategy?
I'm up 184 pips today from my 2 statistical arb positions from this morning...
  • #7
  • Jun 5, 2012 8:57pm Jun 5, 2012 8:57pm
I'm currently up 327 pips since this morning from my 2 statarb trade baskets...I just entered two more...

http://www.myfxbook.com/members/myfx...ow--sap/252385

AUDJPY and EURGBP
GBPJPY and EURAUD
  • #8
  • Jun 6, 2012 5:13am Jun 6, 2012 5:13am
Ok since yesterday morning my trades are up 791 pips and are still open....

I'm currently waiting for a close signal...we still have lots of room to move...
  • #9
  • Jun 6, 2012 11:20am Jun 6, 2012 11:20am
Quoting myfxjournals
Ok since yesterday morning my trades are up 791 pips and are still open....

I'm currently waiting for a close signal...we still have lots of room to move...
OK. Could you please share your strategy here? Seem like the link is also your trading performance.
  • #10
  • Jun 6, 2012 2:28pm Jun 6, 2012 2:28pm
I'm actually using a trading system...the link is on my performance page at the bottom if you want to learn more about what I'm doing...

I closed out for slightly over 1200 pips in a couple days...if you were following the trades you would have seen it...

Quoting Fx2ProTrader
OK. Could you please share your strategy here? Seem like the link is also your trading performance.
  • #11
  • Jun 6, 2012 5:30pm Jun 6, 2012 5:30pm
Just re-entered 3 baskets....hope these go well...

AUDJPY / EURAUD
EURGBP / GBPJPY
EURCAD / AUDJPY
  • #12
  • Jun 6, 2012 7:43pm Jun 6, 2012 7:43pm
Just added

SGDJPY/EURAUD
  • #13
  • Jun 7, 2012 9:42am Jun 7, 2012 9:42am
Up over 500 pips at the moment....
  • #14
  • Jun 7, 2012 10:07pm Jun 7, 2012 10:07pm
I'm still riding my arb pairs....only up 150 pips now, but still holding on...
  • #15
  • Jun 8, 2012 1:51pm Jun 8, 2012 1:51pm
Up 653 pips...
  • #16
  • Jun 8, 2012 6:07pm Jun 8, 2012 6:07pm
what for you started the thread?
you only sell your system. that should be in commercial!!!!!
  • #17
  • Jun 10, 2012 4:20pm Jun 10, 2012 4:20pm
Quoting Fx2ProTrader
OK. Could you please share your strategy here? Seem like the link is also your trading performance.
You can find out more about the trading strategy on another forum. There's a pretty good discussion going on:

http://www.donnaforex.com/forum/index.php?topic=5989.0
  • #18
  • Jun 10, 2012 5:55pm Jun 10, 2012 5:55pm
Well I just closed GBPUSD and EURSEK for 936 pips. Didn't make a whole lot though oddly first because I was trading small lots, but also because the EURSEK value is not very high dollar wise...

Still have about +200 pips in open position however...
  • #19
  • Jun 15, 2012 12:22am Jun 15, 2012 12:22am
Looks like I've inched up a few more notches on the % gain scale...slowly but surely....closed more positions out today...

I did enter an early EURSEK/USDCAD position...
  • #20
  • Last Post: Jun 19, 2012 7:58am Jun 19, 2012 7:58am
I'm in 4 trades right now with a bit of fluctuation from positive to negative to positive...back to negative....

Waiting for the next wave and I'll consider taking profits..

Going to try to hold on for a bit longer term.
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