Pairs trading of futures

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PNW_Trader
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Pairs trading of futures

Post by PNW_Trader » Sat Aug 13, 2011 11:15 pm

Hello all,

I'm reading Perry Kaufman's new book "Alpha Trading." I'm looking for a system which would provide low or negative correlation to my trend following system in order to tame down the drawdowns (yes I'm willing to trade off some CAGR to get it). It would seem, at least on the surface, that a pairs trading system would fit the bill. I haven't thought deeply about it, but it seems like something that could be accomplished in the TBLOX architecture. However, I've done some searches and don't see any direct posts about this topic. I wonder if anyone has tried to build a pairs trading system for futures in TBLOX. If so, how difficult was the task? Also, any information about the performance would be interesting.

Thanks in advance.

fab1usa1
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Post by fab1usa1 » Sun Aug 14, 2011 8:50 am

PNW, what magnitude of drawdown are your backtests currently showing? What is your objective?

rhc
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Re: Pairs trading of futures

Post by rhc » Sun Aug 14, 2011 9:13 am

PNW_Trader wrote:I'm looking for a system which would provide low or negative correlation to my trend following system in order to tame down the drawdowns . . . .
Perhaps you might get some ideas from these 2 interesting posts;

viewtopic.php?t=8789&highlight=blend+system
and
viewtopic.php?t=8342&highlight=blend+system

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