Pair Trading Lab > Questions & Answers

Z-Score values shown in Trade-Log differ to calculated values

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admin:
OK, I will look further during the weekend..

In the mean time, please look at the Quantopian implementation for reference...

admin:
One more thing - please perform the same PTL backtest while setting bid-ask spread to 0 for both stocks...

Marc Wengenroth:
Attached the link to another test with zero spread.

https://www.pairtradinglab.com/backtests/Wq0pI_yIK4FVxfRY

Z-score values only changed very little and still differ from my calculation as before.

admin:
Looked further. Your sheet is missing some dates - namely 5/1/2017, 4/17/2017, 4/14/2017...this is not your fault, these days are missing for real in the Google Finance data too (missing samples or flexible holidays like Easter).

PTL assumes all weekdays (except static Christmas and New Year) as trading days and always backfills missing samples using values from a previous trading days. Look at the screenshot - appended those rows manually...now the Z-score got really close to the PTL tool...

The reason we do this is a data consistency - Google Finance is not really a reliable data source, often there are different days missing for different symbols, so we backfill all values to be sure there are same samples included for all stocks...

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