Pair Trading Lab Helpdesk & Forum

Pair Trading Lab => Questions & Answers => Topic started by: JackBeach on July 14, 2022, 11:10:56 am

Title: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
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  :)

Title: Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
Post by: admin on July 15, 2022, 08:04:38 am

Hi,

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

Title: Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
Post by: JackBeach on July 15, 2022, 10:33:55 pm

Thank you!

Title: Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
Post by: JackBeach on July 18, 2022, 08:41:12 pm

Hi Karel,

In the wiki here https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models, it states that:

"To give some insight on performance: we took 300 best performing pairs from PTL database in period Jan 2013 - Jan 2016. Then we backtested all 300 pairs using out-of-sample period (Jan 2016 - Sep 2016) and we compared their performance. Models used: Ratio(per 14), Residual(20), Kalman Grid v1, Kalman Grid v2 using exit threshold of -1 (normal) and 0 (aggressive). Margin 50% (Req-T)."

Is the aggressive really using an exit threshold of 0? Shouldn't 0 be the normal/default value instead? Just wondering if it is a typo or if the exit threshold is different using ratio vs Kalman...

Title: Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
Post by: admin on July 20, 2022, 07:10:36 am

Yes, you are right. Edited the documentation.