Recent Posts

1

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

2

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...

3

Questions & Answers / Re: Pairtradinglab stock on entry:waiting hist data

« Last post by admin on August 22, 2024, 11:08:42 am »

https://www.pairtradinglab.com/faq#ptltrader-market-data-us

4

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

5

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!!

6

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

7

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?

8

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.

9

Questions & Answers / Portfolio Backtests - extremely good to be true

« Last post by Horacio Moreno on March 11, 2024, 12:17:23 am »

Hello,

Here the results of my portfolio backtest. I find this extremely good to be true.  Could someone please explain why this might be happening?.  Thank you!

Strategies:   43   Max Slots:   10   Account Alloc:   100.00 %
Initial Capital:   50000.00   Final Equity:   864103.73
Total ROI:   1628.21 %   CAGR:   158.54 %
Max. DD:   2.90 %   Sharpe Ratio:   12.410
Log. Linearity:   99.282 %   System Score:   155.154
Start Date:   2021-03-01   End Date:   2024-02-29
Commissions:   5849.71   Comm.% P/L   0.71 %

10

Models, Algorithms & Approaches / Re: profit estimator

« Last post by Paolo Paolo on September 29, 2023, 04:18:48 pm »

isthis forum still active?