Recent Posts

81

Models, Algorithms & Approaches / Re: A/B vs B/A

« Last post by admin on July 04, 2022, 03:57:16 pm »

Hi!

ad 1) This applies to almost all metrics except orthogonal regression / stats. You can try yourself by using Analyze Pair - try it for both versions and see for yourself...

ad 2) What plots do you mean?

ad 3) https://www.pairtradinglab.com/faq#ptl-website-system-score

ad 4) It does not look like this at the first sight because it uses log scale and in this case it covers quite large range. But it is there.

ad 5) You can only add pairs which don't contain equities present in the portfolio already in other pairs...

ad 6) Nope but it is a good idea...

82

Models, Algorithms & Approaches / A/B vs B/A

« Last post by Ernesto Coatimundi on June 30, 2022, 02:49:46 pm »

I have just joined and have a few elementary questions:

1. After running a query I see a list of pairs. In the detail page of pair there are data for pair A/B but also can toggle to B/A. How are these pairs of the same two symbol different? (other than the "half-life" mentioned in the wiki)

2. Are the plots for log-returns or simple returns of the premium series?

3. What is the definition of SCORE?

4. Please look at the attachment. The result shows a 44% max DD. But the equity curve shown nothing like that. What am I missing?

5. From the Backtest page the drop down (Add to portfolio) shows the portfolio names in stricken font and grayed out. The gray goes away randomly and I can add a strategy to the portfolio. what could be the problem?

6.It'd be nice to see the date and values of the plots such as price and correlation at the cursor. Is something like this available?

Thanks in advance.

83

Questions & Answers / Re: Change of slot number does not change performance in the backtest

« Last post by admin on March 14, 2022, 10:49:14 am »

CAGR might not differ much by just changing max slots. It depends on more things. Please read more about slots & money management in the manual in order to understand this perfectly: https://wiki.pairtradinglab.com/wiki/Pair_Trading_Lab_Portfolios

Look at this example:

10 max slots: https://www.pairtradinglab.com/portfolio_backtests/Yi9UHrYB2unsf33-
20 max slots: https://www.pairtradinglab.com/portfolio_backtests/Yi9U0oUW2S5Ou6Do

Focus on the Slot Usage chart...is it more clear now? Think more about relationship of max slots and amount of pairs in the portfolio. CAGR only changed a bit here.

84

Questions & Answers / Re: "class file wrong version" Error when building PTL Trader app

« Last post by admin on March 07, 2022, 07:57:24 am »

> Is there a easy way to force use 3.14.0 then we can probably find and downgrade those libraries which depends on 3.15.100 version ?

It definitely is, but fiddling with Gradle documentation and hacking the version specifiers to accomplish this is exactly the work I don't have time for at the moment I will look on it in few weeks...

Another solution would be to get rid of pico, which prevents us to use newer Java in the project. Unfortunately that means migrating the project to another IoC solution (guava?), which is maybe one week of work...I think this is inevitable in long term...

85

Questions & Answers / Re: "class file wrong version" Error when building PTL Trader app

« Last post by Allen Kim on March 05, 2022, 09:46:23 pm »

I think i made it work but with a very ugly workaround, I manually downloaded org.eclipse.equinox.common-3.14.0.jar file renamed it to org.eclipse.equinox.common-3.15.100.jar and placed it under my directory: C:\Users\<your user name>\.gradle\caches\modules-2\files-2.1\org.eclipse.platform\org.eclipse.equinox.common\3.15.100.
At least it can build now.

But let's come back to the root problem, I know the problem comes from the version of "org.eclipse.equinox.common" library, seems newer version 3.15.100 is compiled with JDK11 instead of JDK8. But i see we already specified to use 3.14.0 version in the build.gradle file. Forgive me i am new to gradle, I don't understand why when i build it is still downloading 3.15.100 version (the latest version). Looks like some other libraries are depending on this latest version, so it got downloaded instead of version 3.14.0.

Is there a easy way to force use 3.14.0 then we can probably find and downgrade those libraries which depends on 3.15.100 version ?

I see, thanks for explaining. I am new to Grandle, will try to do some research and fix.

Confirming the issue.

Unfortunately this is a standard Gradle dependency hell situation. Some package was updated and some transient package (org.eclipse.equinox.common) is in the new version compiled with Java 11, so it does not fit rest of the application and build fails. I guess, already had few issues like this.

The solution is to fiddle with version specifiers and downgrade packages which need to be downgraded. Unfortunately I won't have time to look at it in few weeks.

Feel free to fix this yourself if you want to have it faster. If you submit a working PR to this issue I will provide 3 months of premium membership as a bounty.

Kind regards,
Karel

86

Questions & Answers / Re: "class file wrong version" Error when building PTL Trader app

« Last post by Allen Kim on March 05, 2022, 06:48:11 pm »

I see, thanks for explaining. I am new to Grandle, will try to do some research and fix.

Confirming the issue.

Unfortunately this is a standard Gradle dependency hell situation. Some package was updated and some transient package (org.eclipse.equinox.common) is in the new version compiled with Java 11, so it does not fit rest of the application and build fails. I guess, already had few issues like this.

The solution is to fiddle with version specifiers and downgrade packages which need to be downgraded. Unfortunately I won't have time to look at it in few weeks.

Feel free to fix this yourself if you want to have it faster. If you submit a working PR to this issue I will provide 3 months of premium membership as a bounty.

Kind regards,
Karel

87

Questions & Answers / Re: "class file wrong version" Error when building PTL Trader app

« Last post by admin on March 05, 2022, 03:53:58 pm »

Confirming the issue.

Unfortunately this is a standard Gradle dependency hell situation. Some package was updated and some transient package (org.eclipse.equinox.common) is in the new version compiled with Java 11, so it does not fit rest of the application and build fails. I guess, already had few issues like this.

The solution is to fiddle with version specifiers and downgrade packages which need to be downgraded. Unfortunately I won't have time to look at it in few weeks.

Feel free to fix this yourself if you want to have it faster. If you submit a working PR to this issue I will provide 3 months of premium membership as a bounty.

Kind regards,
Karel

88

Questions & Answers / "class file wrong version" Error when building PTL Trader app

« Last post by Allen Kim on March 05, 2022, 09:59:50 am »

I am trying to install PTL Trader, what I did is I clone the project from GitHub, installed jdk 1.8.0_321 and jre1.8.0_321.
Then i tried to build the project following the guidance by running below command:
bash ./gradlew shadowJar -PforceArch=win64    (btw i am using window10 os)

Then I got this werid error:

import org.eclipse.core.runtime.IStatus;
                               ^
  bad class file: C:\Users\allen\.gradle\caches\modules-2\files-2.1\org.eclipse.platform\org.eclipse.equinox.common\3.15.100\498abfe26a551e844909c745c2936f6578ad81e5\org.eclipse.equinox.common-3.15.100.jar(org/eclipse/core/runtime/IStatus.class)
    class file has wrong version 55.0, should be 52.0
    Please remove or make sure it appears in the correct subdirectory of the classpath.
:compileJava FAILED

anyone can help me on this ?

89

Questions & Answers / Change of slot number does not change performance in the backtest

« Last post by tcima on February 28, 2022, 06:42:48 pm »

Hi,

I've been tuning my portfolio and have the following issue:

When I doubled the number of slots of a pair in a portfolio, both the CAGRs of the pair and whole portfolio (strategies: 9, max slots: 10) did not change a bit. The margin allocated to the pair is 100%.

I'd like to know why the performance doesn't change.

Thanks in advance

90

Questions & Answers / Re: Portfolio download

« Last post by tcima on February 27, 2022, 11:11:27 pm »

I checked RSI columns appearing in the csv file.
Thanks!