1
Introduce Yourself / Re: Florida trader
« Last post by admin on March 08, 2025, 08:02:57 am »Welcome!
Recent Posts
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Introduce Yourself / Florida trader
« Last post by Nicolas KImball on March 04, 2025, 09:30:54 am »Good Morning nice to meet everyone.
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Good & Bad Pairs / BUG ! ticker DRIP both US ETF and UK REIT plc / In sample and out of sample
« Last post by Claude Bastoen on September 27, 2024, 05:52:35 am »1/ Issue of ticker : "DRIP" Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
"DRIP" Drum Income Plus REIT Plc
Same ticker
I need DRIP Oil & Gas ETF and get UK REIT plc with either oil&gaz or REIT quotes ...
Hard to make a pair !!!
DRIP appears to be UK REIT traded on LSE.
2/ Walk-forward : Despite i scrutinize closely yr 2016 tutorial video
"How to setup ETF pairs trading portfolio in 30 minutes" I am still confused with yr walk-forward and In-sample and out-of-sample parameter. Your demonstrator seems to play with database dates. Screen seems to be divided in two equal parts : on left hand "in-Sample period" and right hand "Out-of-sample" period.
Any optimization on "In-sample" period" ? Do you have a small explanation in order to execute it properly ?
Thks for yr comments.
I am very favorably impressed by yr pair trading tool and testing it deeply, hoping to become a customer.
Have a nice day and regards
Claude, Paris
"DRIP" Drum Income Plus REIT Plc
Same ticker
I need DRIP Oil & Gas ETF and get UK REIT plc with either oil&gaz or REIT quotes ...
Hard to make a pair !!!
DRIP appears to be UK REIT traded on LSE.
2/ Walk-forward : Despite i scrutinize closely yr 2016 tutorial video
"How to setup ETF pairs trading portfolio in 30 minutes" I am still confused with yr walk-forward and In-sample and out-of-sample parameter. Your demonstrator seems to play with database dates. Screen seems to be divided in two equal parts : on left hand "in-Sample period" and right hand "Out-of-sample" period.
Any optimization on "In-sample" period" ? Do you have a small explanation in order to execute it properly ?
Thks for yr comments.
I am very favorably impressed by yr pair trading tool and testing it deeply, hoping to become a customer.
Have a nice day and regards
Claude, Paris
4
Questions & Answers / Re: Pairtradinglab stock on entry:waiting hist data
« Last post by admin on August 22, 2024, 11:09:20 am »Demo accounts are not supported because marked data subscription is not available to purchase for them...
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Questions & Answers / Re: Pairtradinglab stock on entry:waiting hist data
« Last post by admin on August 22, 2024, 11:08:42 am »6
Questions & Answers / Pairtradinglab stock on entry:waiting hist data
« Last post by momomadi madi on August 19, 2024, 05:11:12 pm »Pairtradinglab stock on entry:waiting hist data
i already connected it to IB gateway (on demo account)
https://imgur.com/a/MmlbDTN
https://imgur.com/a/RRO2XTJ
https://imgur.com/a/qAwSrQE
i already connected it to IB gateway (on demo account)
https://imgur.com/a/MmlbDTN
https://imgur.com/a/RRO2XTJ
https://imgur.com/a/qAwSrQE
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Questions & Answers / Re: PLT Trader Engine Status: Wait for hist Data
« Last post by SERGIO DIEZ MAURICIO on July 18, 2024, 02:29:17 pm »I have the same problem and I have the same IB data bundles activated.
Anyone have any idea ?
Thanks a lot in advance!!
Anyone have any idea ?
Thanks a lot in advance!!
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Introduce Yourself / French newcomer
« Last post by Claude Bastoen on May 28, 2024, 05:44:15 pm »Bonjour,
I am a french newcomer near Paris.
I am searching since a long time a good algorithm to improve my retirement.
Till now I have been using Amibroker mainly thru rotational trading. ETF being my favorite value.
I discovered recently pair trading and yr system.
It seems probably to be an interesting, efficient and elegant approach.
I am discovering and testing yr system before becoming "Premium".
I get interesting backtests, i need your lights to go further :
1/ Walk Forward : i did not find any parameters for automatic walk-forward : "In sample" and "Out of sample". Instead yr proposal is a plain 4 years and half backtest... For the time being i tried 1 year and 6 months in sample and 6 weeks to 2 months Out of sample.
By proposing a manual and long 4 and half years of in-sample you seem to advocate a long time mean value instead of adaptive which sticks to the market conditions
2/ Optimization : it is done manualy a priori thru a choice of moving averages and Kalmann.
3/ In the trade log i find often "Timeout". That means the trade could not be done. i get often a big loss. How to avoid them ?
Regards
Claude
I am a french newcomer near Paris.
I am searching since a long time a good algorithm to improve my retirement.
Till now I have been using Amibroker mainly thru rotational trading. ETF being my favorite value.
I discovered recently pair trading and yr system.
It seems probably to be an interesting, efficient and elegant approach.
I am discovering and testing yr system before becoming "Premium".
I get interesting backtests, i need your lights to go further :
1/ Walk Forward : i did not find any parameters for automatic walk-forward : "In sample" and "Out of sample". Instead yr proposal is a plain 4 years and half backtest... For the time being i tried 1 year and 6 months in sample and 6 weeks to 2 months Out of sample.
By proposing a manual and long 4 and half years of in-sample you seem to advocate a long time mean value instead of adaptive which sticks to the market conditions
2/ Optimization : it is done manualy a priori thru a choice of moving averages and Kalmann.
3/ In the trade log i find often "Timeout". That means the trade could not be done. i get often a big loss. How to avoid them ?
Regards
Claude
9
Good & Bad Pairs / How to trade like backtest
« Last post by Christopher Jacoby on May 16, 2024, 09:15:20 pm »I ran the following backtest:
https://www.pairtradinglab.com/analyses/Zkana__HjWHLoZhs
Ton of information here. I’m new to equity pair trading, as forex is naturally pair trading, and have been reading a few of the academic papers. I even implemented my own model.
I have a few questions about the analyzer and backtester:
1) how do I recreate my trades to perform like the back tester, in terms of entries, exits spanning both profit taking and stop-losses?
2) for the residual model that is analyzed and backtested, if I understand the Wiki, I believe it’s the relationship between the price of stock of A and the price of stock b. Is that correct? From the pair trading literature I’ve , I thought it was better to regress the natural lot of the change in prices across the two pairs, eg in Excel: ln(stockA_price_t / stockA_price_t-1) and then do the same for stock B, then run OLS via Linest. Can I recreate the residual model to be similar?
3) is there documentation that walks through examples of the analyzer or the backtester to understand all of the information provided?
https://www.pairtradinglab.com/analyses/Zkana__HjWHLoZhs
Ton of information here. I’m new to equity pair trading, as forex is naturally pair trading, and have been reading a few of the academic papers. I even implemented my own model.
I have a few questions about the analyzer and backtester:
1) how do I recreate my trades to perform like the back tester, in terms of entries, exits spanning both profit taking and stop-losses?
2) for the residual model that is analyzed and backtested, if I understand the Wiki, I believe it’s the relationship between the price of stock of A and the price of stock b. Is that correct? From the pair trading literature I’ve , I thought it was better to regress the natural lot of the change in prices across the two pairs, eg in Excel: ln(stockA_price_t / stockA_price_t-1) and then do the same for stock B, then run OLS via Linest. Can I recreate the residual model to be similar?
3) is there documentation that walks through examples of the analyzer or the backtester to understand all of the information provided?
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Questions & Answers / Re: Portfolio Backtests - extremely good to be true
« Last post by admin on March 14, 2024, 05:13:02 pm »Replied your support ticket. I would guess the difference is in the leverage (margin %) used.