Recent Posts

71

Technical Details / IBKR pricing (Fixed/Tiered) and algo routing (SMART): what is the best?

« Last post by JackBeach on July 17, 2022, 12:30:04 pm »

Hey there,

For pair trading with PTL Trader and IBKR:
- what is the cheapest pricing to go for: Fixed or Tiered?
- as to the algo routing, from your experience, which SMART routing is best: Multipurpose or MaxFill (Maximise fill)?

72

Suggestions And Feature Requests / Compute portfolio performances based on different slots number and sort fields

« Last post by JackBeach on July 17, 2022, 10:43:07 am »

Hello, Karel,

I've been intensively playing with the backtester, which is truly amazing. So, big Kudos to you!

I think, there is a way to improve even more the efficiency of the backtester, in order to make it faster for the user to take a decision.

Here is a concrete use-case, and what I have in mind to make PTL backtester even better than what it already is: I've created a portfolio comprised on 20 pairs, but I want to automatically generate all the different combinations possible in term of slots number (10, 11, 12, and so on...) but for each result, I would like to be able to sort them based on two sort fields: Max drawdown and/or Sharpe Ratio, preferably in the descending order 

Is it something that you think could be implemented?

73

Questions & Answers / Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by JackBeach on July 15, 2022, 10:33:55 pm »

Thank you!

74

Models, Algorithms & Approaches / Re: RSI and earnings filtering

« Last post by JackBeach on July 15, 2022, 10:15:40 am »

Thanks, Karel 

About the RSI Threshold, what would be the default value?

I can't seem to find it in the wiki 

75

Questions & Answers / Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by admin on July 15, 2022, 08:04:38 am »

Hi,

you can find those in the online backtester tool. Try for yourself.

76

Models, Algorithms & Approaches / Re: RSI and earnings filtering

« Last post by admin on July 15, 2022, 07:54:18 am »

The difference is negligible. You should determine optimal parameters yourself by making multiple backtests.

77

Models, Algorithms & Approaches / Re: RSI and earnings filtering

« Last post by JackBeach on July 14, 2022, 12:24:46 pm »

Hello Karel,

I see in the Wiki that the default value for the RSI = 15, but on the web, the default value usually used for the RSI is 14.

From your experience, is there really a noticeable difference between the two?
Which one is supposed to give better results as default value?

78

Questions & Answers / Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by JackBeach on July 14, 2022, 11:10:56 am »

Hello Karel,

I'm reading about the different Pair Trading Models offered by PTL (https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models), and I would like to know what are the default parameters for the following two models:
- Kalman-grid Model (v2)
- Kalman-auto Model

Thank you 

79

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

« Last post by admin on July 13, 2022, 03:00:14 pm »

about this:

7) what is the meaning difference between the blue (white center) vs green icon that appears at the top right corner of each pair section after a database query?

Sorry but I don't understand that question. Maybe make a screenshot and mark it for me? In general all icons in pair databaase search results give you a tool hint when you hover your mouse  on them and wait for a second.

80

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

« Last post by admin on July 13, 2022, 02:56:54 pm »

about #2:

* the Q-Q plot is for orthogonal residuals (orthogonal linear regression between two price series)
* the x/y plot is just stock prices plotted in a scatterplot