So far doing this as a pairs trade that expected the strong/weak
trend to continue would have worked (i.e. long XLY, short EWZ --
both down but EWZ more)
Trouble is sometimes the trends continue. You may remember I did
a long ITB short EFA trade last Nov based on the trend continuing
(NOT reverting to the mean). I exited in early Dec with about a
5.8% avg gain so OK but if I had just held it to today I would have
an average 24% gain! Looking at the long XLY short EWZ pair I
mentioned the other day today XLY is up .8% and EWZ is down .5%
with SPY up .2% -- law has been watching the leveraged Brazil
ETFs which of course are moving more. So bottom line I guess you
can't assume anything is going to go back to a historical
relationship.
So far doing this as
Looking for who's leading to the downside in case the ...
Posted by bkout3 on 14th of May 2012 at 11:01 am
So far doing this as a pairs trade that expected the strong/weak trend to continue would have worked (i.e. long XLY, short EWZ -- both down but EWZ more)
ubr bzq
Posted by law6 on 15th of May 2012 at 12:34 pm
EURUSD / GBPUSD pairs trade?
Posted by philosoraptor on 14th of May 2012 at 11:50 am
The SPY and EURUSD usually correlate, and certainly have in the past six weeks.
Also, the Pound (GBPUSD) and Euro (EURUSD) usually follow each other.
However, the Pound has diverged from the Euro significantly in the past six weeks - see the attached correlation chart.
FXE = Euro / EURUSD ETF
FXB = Pound / GBPUSD ETF
Sooooo, 'no risk' pairs trade = Long FXE / Short FXB?
Title: click to expand Trouble is
Posted by bkout3 on 15th of May 2012 at 01:11 pm
Trouble is sometimes the trends continue. You may remember I did a long ITB short EFA trade last Nov based on the trend continuing (NOT reverting to the mean). I exited in early Dec with about a 5.8% avg gain so OK but if I had just held it to today I would have an average 24% gain! Looking at the long XLY short EWZ pair I mentioned the other day today XLY is up .8% and EWZ is down .5% with SPY up .2% -- law has been watching the leveraged Brazil ETFs which of course are moving more. So bottom line I guess you can't assume anything is going to go back to a historical relationship.
oops -- Matt I thought
Posted by bkout3 on 15th of May 2012 at 01:19 pm
oops -- Matt I thought I removed that too big picture but its still there and I can't get back into edit -- can you get rid of it? thx
look at bzq and ubr and edz
Posted by law6 on 14th of May 2012 at 11:07 am