Recent Posts

1

Introduce Yourself / French newcomer

« Last post by Claude Bastoen on Today at 05:44:15 pm »

Bonjour,
I am a french newcomer near Paris.
I am searching since a long time a good algorithm to improve my retirement.
Till now I have been using Amibroker mainly thru rotational trading. ETF being my favorite value.
I discovered recently pair trading and yr system.
It seems probably to be an interesting, efficient and elegant approach.
I am discovering and testing  yr system before becoming "Premium".
I get interesting backtests, i need your lights to go further :

1/ Walk Forward : i did not find any parameters for automatic walk-forward : "In sample" and "Out of sample". Instead yr proposal is a plain 4 years and half backtest... For the time being i tried 1 year and 6 months in sample and 6 weeks to 2 months Out of sample.
By proposing a manual and long 4 and half years of in-sample you seem to advocate a long time mean value instead of adaptive which sticks to the market conditions

2/ Optimization : it is done manualy  a priori thru a choice of moving averages and Kalmann.

3/ In the trade log i find often "Timeout". That means the trade could not be done. i get often a big loss. How to avoid them ?

Regards
Claude

2

Good & Bad Pairs / How to trade like backtest

« Last post by Christopher Jacoby on May 16, 2024, 09:15:20 pm »

I ran the following backtest:

https://www.pairtradinglab.com/analyses/Zkana__HjWHLoZhs

Ton of information here.  I’m new to equity pair trading, as forex is naturally pair trading, and have been reading a few of the academic papers.  I even implemented my own model.

I have a few questions about the analyzer and backtester:

1) how do I recreate my trades to perform like the back tester, in terms of entries, exits spanning both profit taking and stop-losses? 

2) for the residual model that is analyzed and backtested, if I understand the Wiki, I believe it’s the relationship between the price of stock of A and the price of stock b.  Is that correct?  From the pair trading literature I’ve , I thought it was better to regress the natural lot of the change in prices across the two pairs, eg in Excel: ln(stockA_price_t / stockA_price_t-1) and then do the same for stock B, then run OLS via Linest.  Can I recreate the residual model to be similar?

3) is there documentation that walks through examples of the analyzer or the backtester to understand all of the information provided?

3

Questions & Answers / Re: Portfolio Backtests - extremely good to be true

« Last post by admin on March 14, 2024, 05:13:02 pm »

Replied your support ticket. I would guess the difference is in the leverage (margin %) used.

4

Questions & Answers / Portfolio Backtests - extremely good to be true

« Last post by Horacio Moreno on March 11, 2024, 12:17:23 am »

Hello,

Here the results of my portfolio backtest. I find this extremely good to be true.  Could someone please explain why this might be happening?.  Thank you!

Strategies:   43   Max Slots:   10   Account Alloc:   100.00 %
Initial Capital:   50000.00   Final Equity:   864103.73
Total ROI:   1628.21 %   CAGR:   158.54 %
Max. DD:   2.90 %   Sharpe Ratio:   12.410
Log. Linearity:   99.282 %   System Score:   155.154
Start Date:   2021-03-01   End Date:   2024-02-29
Commissions:   5849.71   Comm.% P/L   0.71 %

5

Models, Algorithms & Approaches / Re: profit estimator

« Last post by Paolo Paolo on September 29, 2023, 04:18:48 pm »

isthis forum still active?

6

Models, Algorithms & Approaches / profit estimator

« Last post by Paolo Paolo on September 18, 2023, 02:30:31 am »

I’m trying to understand how it works. The manual reports
This particular "profit estimator" simulates that both prices drop proportionally to the positive direction
coul you please elaborate it more on how profit is estimated? i.e. proportionally to what? could you pls provide the formula used ? thanks

7

Questions & Answers / Re: advise for building PTL on linux / ubunto

« Last post by admin on July 24, 2023, 05:10:05 pm »

I suggest building it using the bundled gradle wrapper instead of an IDE.

https://github.com/quantverse/ptltrader#building-the-app

8

Questions & Answers / advise for building PTL on linux / ubunto

« Last post by don martin on July 19, 2023, 12:57:00 pm »

Hi,

I'm trying to build PTL on Ubunto.
(https://github.com/quantverse/ptltrader)

I'm using intelliJ, and getting many gradle errors.

Are there recomendations for other IDE's perhaps, or any sepcific set up options?

Have installed JDK 11

Cheers, Erez

9

Questions & Answers / Using etrade not interactive brokers

« Last post by John Soares on July 06, 2023, 04:15:16 pm »

Do I really have to transfer money to ib? I have etrade already. Also I only want 15 to 20 minute delayed pricing. Would yahoo finance work?

10

Questions & Answers / Re: Z-score from EMA difference with Ratio Model

« Last post by svkuz on June 05, 2023, 05:22:59 pm »

After reviewing the implementation. I found that the Zscore it is calculated here: method getZScore in PairTradingModelRatio.java

But, I cannot return the same results as on the backtest. Please, correct me if I understood bad on the calculation of the zscore:

1. Calculate the min and max ratios from closing ASK and BID prices of the current date for both symbols. To do this, it is used MultiRatio class

2. Calculate historial ratio using closing historical data (not bid or ask) and do: stock1 close price / stock2 close prince

3. Calculate current EMA with 21 periods using historical Ratio calculated on previous step

4. Calculate STD DEV with 21 periods using historical Ratio calculated on step 2

5. Calculate zscoremin:  (minratio - EMA of step 3) / STD DEV of step 4
    Calculate zscoremax: (maxratio - EMA of step 3) / STD DEV of step 4

6. Finally, calculate the mean of zscoremin and zscoremax: (zscoremin + zscoremax) / 2 and this is the final zscore which appear on the trade log

What am I doing wrong?

Many thanks in advance,
Best Regards.