Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: Ernesto Coatimundi on June 30, 2022, 02:49:46 pm

Title: A/B vs B/A
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.

Title: Re: A/B vs B/A
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...

Title: Re: A/B vs B/A
Post by: Ernesto Coatimundi on July 05, 2022, 02:00:59 pm

#2) on the page Analysis of A/B : Q-Q plots and the x=..., y=... plots


#6) more than good idea; VERY necessary. In fact download of these data as well as all other tables or prefereably entire analysis-pages to some sort of spreadsheet format is useful for record keeping

Here is one more:
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?

Thx

Title: Re: A/B vs B/A
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

Title: Re: A/B vs B/A
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.