Recent Posts

1

News & Announcements / PTL Trader v1.6.0 released as open-source!

« Last post by admin on July 02, 2021, 09:24:38 am »

Dear community!

We have decided to release the new version of PTL Trader as a free, open-source software. One of the main reasons is that there are advanced users who want to make changes in the software in order to support new features (like more advanced order executions apart from transmitting market orders). So we are giving this software to the community under the GNU GPL3 license - all kinds of modifications are permitted and PRs are welcome.

Project on GitHub: https://github.com/quantverse/ptltrader

Changelog: https://github.com/quantverse/ptltrader/releases

Information: https://www.pairtradinglab.com/ptltrader

Manual: https://wiki.pairtradinglab.com/wiki/PTL_Trader_Manual

2

Literature & Links / Re: Interesting workshop

« Last post by Matan Bar-Haim on June 28, 2021, 06:08:16 am »

Excellent video!
Thank you very much for posting 

3

Literature & Links / Interesting workshop

« Last post by admin on May 11, 2021, 04:01:06 am »

There is an interesting section related to cointegration, pairs trading and Kalman filter application:

https://youtu.be/yyvIcdYkb9o?t=1845

The PTL does exactly what is mentioned at this workshop.

4

Technical Details / Learning the Math

« Last post by dogsplayingpoker on April 19, 2021, 08:24:09 pm »

Hey,

I don't have a great math background but I'm experienced in more discretionary pairs trading. This site is awesome, as it seems to plug a lot of the quantitative gaps that I've been using subpar solutions for. I'd like to start getting an understanding of the math behind all the metrics on this site. Does anyone know of a good source to start learning this stuff for someone with a poor math background? Should I just start taking intro level statistics courses through a place like Khan Academy or something?

Thank you all.

5

Questions & Answers / Re: Multiple Pairs/One Account Binding

« Last post by admin on November 18, 2020, 04:39:47 am »

Yes and yes

6

Questions & Answers / Re: Multiple Pairs/One Account Binding

« Last post by Gayan Samarakoon on November 18, 2020, 12:42:07 am »

so to confirm - only one portfolio can be bound to one IB account at anytime?

the solution to run multiple portfolios => either multiple IB accounts OR combine all portfolios as one?

7

Suggestions And Feature Requests / Re: Dollar Amount/Layering features

« Last post by admin on November 13, 2020, 04:26:10 am »

1. https://wiki.pairtradinglab.com/wiki/Pair_Trading_Lab_Portfolios  (see Money Management)
2. Nope, we don't support layering, we consider it too risky and problematic for money management

8

Suggestions And Feature Requests / Dollar Amount/Layering features

« Last post by sal mhd on November 12, 2020, 02:49:55 pm »

Hi, im taking time to test your platform and test all functionality. but i have a few question

1.where can i set the amount i want to trade with, e.g 2k instead of the 100,000 default and can i change this on the PTL trader and how?

2. Do you have layering features, where i can add into positions, e.g double my position if it exceeds more std away from the mean?

Thanks

9

Questions & Answers / beta=0/float=0

« Last post by sal mhd on November 09, 2020, 05:37:28 am »

Hi, when i do a study on these pair, one of the stock beta and float is 0. why is the case. I see this with some other studies i am doing

I have attached a picyure

10

Models, Algorithms & Approaches / Re: Stop loss after average time in trade

« Last post by admin on October 22, 2020, 01:49:57 pm »

I just advise to use the Max Days rule as it is. 20 days is a good default but it is always a good idea to finetune it per pair using a backtest.

Using the SD together with it (to look if it is going "anywhere") won't help much I think (remember the SD you see is already a history, you don't know the SD of the next day yet).