CointHL System ID 407 - page 2

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Today Trades (26-02-2009)

We had two trades indicated by the swing trading subsystem:

Currently open positions

SELL AUDUSD (opened today: 26-02-2009)

BUY EURUSD (opened today: 26-02-2009)

_________________________________

We had four trades indicated by the daily trading subsystem:

Currently open positions

SELL USDCHF (opened 25-02-2009)

BUY USDCHF (opened today: 26-02-2009)

Currently closed positions

SELL EURUSD 26 pips / 27.00 USD

SELL GBPUSD 35 pips / 35.00 USD

BUY USDJPY 40 pips / 40.91 USD

TODAY TOTAL : 101 pips / 102.91 USD

Regards,

La Totona

 

You got PM.

 

hi

hi latona

thanks for detail answer i will give it a look

all the best

regards lodol

 

Answer to Kenny Rogers

Kenny Rogers:
You got PM.

Hello Kenny Rogers, I PM you a minutes ago.

Regards,

La Totona

 

Answer to lodol2

lodol2:
hi latona

thanks for detail answer i will give it a look

all the best

regards lodol

Lodol

You are welcome! If you have more question, I will be here... !

All the best for you, too!

Regards,

La Totona

 

hi

hi ok

here im again

quote

Two time series (X(t) and Y(t) are cointegrated if both are integrated of order one (I(1)) and if exist a linear combination (Z(t)= X(t)+b*Y(t)) that is integrated of order zero (I(0)).

3. But, what do you mean with that definition?

If two time series are cointegrated there is a long run relationship between them. They have drifts between them in the short run but they don't drift apart in the long run. If Z(t) are I(0),then Z(t) is stationary, and then it has a constant mean. If a time series has a constant mean, it is mean reverting and predictable whereas the stationarity is present.

4. Why do you have two system in the same ID?

This two subsystem are both based in the cointegration concept but they are developed under the scope of two different models, one for day trading and the other for swing trading, one for a simple pair and the other for multiple pairs. So, we achieve one more form of diversification inside the system making it more powerfull and interesting (and we have more trade too).

hello

so this would mean that cointegration show a mean reversion in the long run....

so how you than define the exact entry....because a cointegrated pair says only that in the long run it will probably return right?

how you define the entry?

so if you have the spread of the pair......for what you look int he entry?

i think some kind of standard deviation or? if it reach beyond a special standard deviation and start to return its probably an entry for a trade?

target price

and i also dont understand that from a daily cointegration you have quite small or secure target prices ---so you exit intraday...and the analysis is on the basis of daily?

so i hope i dont bother you with my questioning

thanks

lodol

 

Answer to Lodol2

lodol2:
hi ok

here im again

so how you than define the exact entry....because a cointegrated pair says only that in the long run it will probably return right?

how you define the entry?

so if you have the spread of the pair......for what you look int he entry?

i think some kind of standard deviation or? if it reach beyond a special standard deviation and start to return its probably an entry for a trade?

The exact time of entry in a typical pairs trading strategy based in a cointegration approach depends of the amount of risks that you can accept. If you examine the spread between the pairs, you can set a predeterminaded deviation from the mean according to your risk and open the position at this point. You can use standard deviation or other forms of represent of deviation from the mean.

and i also dont understand that from a daily cointegration you have quite small or secure target prices ---so you exit intraday...and the analysis is on the basis of daily?

The daily cointegration approach is an original idea. I had not seen this type of approach in the literature, so I prefer keep privatly for now. I can only tell you that the idea arised when I thougth the cointegration in a different way (not the typical pairs trading)

so i hope i dont bother you with my questioning

You question are welcome! I hope my answer can help you!

thanks

lodol

Dear Lodol, the answer are in red below the quoted questions?

Regards.

La Totona.

 

hi

hi latona

thanks for answering

regardslodol

 

Just want to drop in here, and say I've become the first paying customer/subscriber of the COINTHL system on March 1, 2009.

I hope this will be a mutually beneficial endeavor.

 

hi

hi kenny rogers

thanks for info..............

i hope also with and for you...

regards lodol

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