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1
Trading Results / Re: Decay of Stat Arb
« Last post by admin on September 23, 2020, 05:09:32 am »
Always long Sherwin and short the other one...
2
Trading Results / Re: Decay of Stat Arb
« Last post by sal mhd on September 20, 2020, 03:40:58 pm »

I see a previous post, in regards to your suggestion of

This is an arbitrage between Sherwin-Williams Company and an ETF fund. Long positions opened only.


When you say long only, are you saying both legs long or always long Sherwin. can you please explain. As i am trying to see if there are other new methods .

Thanks
3
Questions & Answers / Re: Live trading
« Last 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.
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Questions & Answers / Live trading
« Last 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
5
Questions & Answers / Re: Engine Status: waiting on shortability
« Last post by admin on August 26, 2020, 01:45:45 pm »
Hi,

this is unfortunately a known issue appearing from time to time. Unfortunately it is a bug in the IB API (we cannot do anything about that).

https://www.pairtradinglab.com/faq#ptltrader-restart-both
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Questions & Answers / Engine Status: waiting on shortability
« Last post by Ralph Lamberti on August 26, 2020, 11:38:07 am »
I am getting an Engine Status of 'waiting on shortability', but the stock is actually shortable at IB

I can manually open the pair position by using that function on the PTL Trader, and when viewing the Pair Legs, the shortable column displays 'true'

Any ideas about what the issue may be?

thank you in advance
7
Questions & Answers / Re: Co-Integration period
« Last post by Hung-Wah Cheung on August 06, 2020, 10:33:42 pm »
Hello

Pairs periodically come into and out of cointegration. In my opinion 1 year of data is not enough for back testing. You would need to select a longer period that you are comfortable with. Exactly how long depends upon experience and how frequently you wish to trade.

I know it's not the magic answer you are looking for. Cointegration pairs trading is also an art as well as a science.

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Questions & Answers / Re: PTL dosen't open Long positinins on negative z score
« Last post by admin on August 05, 2020, 04:42:46 am »
Look at the strategy status. It should indicate why it won't enter the position. There are many reasons potentially causing this.
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Questions & Answers / Re: Engine status : no activity at the exchange
« Last post by admin on August 05, 2020, 04:41:29 am »
Create the helpdesk issue please with screenshot and application logfile.

https://www.pairtradinglab.com/faq#ptltrader-reporting-issues
10
Questions & Answers / Engine status : no activity at the exchange
« Last post by sam lannaghan on August 03, 2020, 03:49:12 pm »
i am getting this error Engine status : no activity at the exchange . i have market data etc . what do you think the problem is ?
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