Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: milch on May 25, 2016, 07:51:40 am

Title: Settlement
Post by: milch on May 25, 2016, 07:51:40 am

Hello!

This is a really a great program offering very advanced numerical approaches. I was only wondering which assumtions do apply for your backtester:
- if and how do you consider settlement period in your backtester?
- do you have any kind of optimization approach in PTL for the portfolio allocation in order to minimize waiting time due to the settlement?
- do you use close or adjusted close prices for backtesting?

Title: Re: Settlement
Post by: admin on May 25, 2016, 08:03:25 am

Dear Milch,

thanks for your compliment! About your questions:
1) we don't consider settlement periods at all because we support only trading margin accounts (where you don't need to really care about settlements anymore)...cash accounts are not supported
2) ditto (no waiting time needed)
3) we use close prices adjusted for splits, reverse splits, capital returns, special dividends, stock dividends, demergers and spin-offs