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Hi All, any updates on 2019 performance - how successful pair trading is now? Has it improved compared to 2018?

From my personal experience, you can gauge the performance of pair trading (besides checking your own portfolio) by monitoring the other side of the trade, which is momentum. When pair trading is not working well, that means mean reversion in general has weakened, and momentum strategies are gaining more steam.

My favorite ETF to look at for such purpose is the AGFiQ US Market Neutral Momentum Fund, ticker MOM. The fund basically takes the exact opposite trades of pair traders' in a dollar neutral fashion. If you check its 2019 performance, there is a mini surge started in May and culminated in early September, then crashed during the month of September. My portfolio had a very good five and half month (up about 7%, Sharpe ratio 4+), then came crashing down during the following month, giving back all the profits. It's 2 years in a row such things happened and I doubt it will be the last. Unfortunately MOM is very thinly traded, so hedging your portfolio with it is not possible. Until there's a viable alternative to hedge your during those momentum surges I just don't see pair trading as a reliable strategy to generate consistent profits.

Ray
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Hi All, any updates on 2019 performance - how successful pair trading is now? Has it improved compared to 2018?
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Suggestions & Feature Requests / Re: Pair trading lab event bus
« Last post by admin on January 23, 2020, 07:22:40 am »
This is weird, I have tested it and it works now...we will need to investigate further. Please create a support ticket in Helpdesk and attach your PTL Trader application logfile, I will need to inspect it.

https://www.pairtradinglab.com/faq#ptltrader-log-files

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Suggestions & Feature Requests / Re: Pair trading lab event bus
« Last post by Gil Berto on January 22, 2020, 05:55:58 am »
Using version PTLTrader 1.5 i have same error!

G
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Suggestions & Feature Requests / Re: Pair trading lab event bus
« Last post by admin on January 19, 2020, 05:06:48 pm »
The infrastructure has been upgraded. Could you test it now please?

Karel
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Suggestions & Feature Requests / Re: Pair trading lab event bus
« Last post by admin on January 18, 2020, 08:56:32 am »
Ouch...well OK, we will try to upgrade involved part of the infrastructure during this weekend...

Kind regards,
Karel
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Suggestions & Feature Requests / Re: Pair trading lab event bus
« Last post by Gil Berto on January 17, 2020, 04:24:17 am »
I Have installed  1.8.0_221 version, the problem its the same.
I have remove version 1.8.241
I'm using version on WIndows 10
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Suggestions & Feature Requests / Re: Pair trading lab event bus
« Last post by admin on January 16, 2020, 10:46:56 am »
Hello,

this is currently a known issue with certain versions of Java. Unfortunately there is no easy fix possible in our application at the moment, we will need to upgrade our infrastructure. We will, but for now the workaround is either to:

  • downgrade Java to version older than 1.8.0_231, for instance 1.8.0_221 should work fine
  • in Linux / Mac OS you can provide the following option to command line when running the app: -Djdk.tls.namedGroups=secp256k1  (then you can keep your current Java version)

Technical explanation:

The reason is that Java 1.8.0_231 (and other versions) removed some curves used for TLS. Luckily these can be re-enabled by providing extra options to Java in command line: -Djdk.tls.namedGroups=secp256k1

Tested with Oracle Java 1.8.0_231

https://www.oracle.com/technetwork/java/javase/8u231-relnotes-5592812.html
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Suggestions & Feature Requests / Pair trading lab event bus
« Last post by Gil Berto on January 16, 2020, 06:48:03 am »
Hi, i have install PLTRader, on configuration account with access key e secret key the connection failed.
I have this message on log
Unable to subscribe to Pair Trading Lab event bus - connection failed
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Questions & Answers / Re: entry: waiting for slot
« Last post by admin on November 01, 2019, 05:42:54 am »
Hello,

when any slot is released, the first pair indicating a buy/sell signal will claim it. So first in, first out...

Karel
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