Pair Trading Lab Helpdesk & Forum

Pair Trading Lab => Questions & Answers => Topic started by: turion cep on September 02, 2020, 09:54:11 am

Title: Live trading
Post by: turion cep on September 02, 2020, 09:54:11 am

Hey,
if I want to live trade the kalmann-auto, when will it open positions?
because in your backtests you use EOD data so when will it enter positions in live trading?
Regards

Title: Re: Live trading
Post by: admin on September 05, 2020, 02:57:45 pm

It will calculate Kalman filter data based on daily data (once a day) but z-scores are calculated in real time using bid/ask prices. You should try on the paper account first to see for yourself.