Recent Posts

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Questions & Answers / Re: Multiple Pairs/One Account Binding
« Last post by admin on November 18, 2020, 04:39:47 am »
Yes and yes :)
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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?
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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
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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
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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
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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).
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Models, Algorithms & Approaches / Re: Stop loss after average time in trade
« Last post by Matan Bar-Haim on October 21, 2020, 07:38:48 pm »
Hey Karel,

Thank you for your reply.

I have been using the max trading days as 20 for every pair as a default setting but yet to adjust it according to the AVG time per trade.

Are you saying that instead of using 20 days for every pair it is a normal procedure to adjust the max trade days to every pair and after the AVG time + X days(depending on the AVG), if the SD hasn't changed much the position should be closed?

All the best,
Matan.

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Models, Algorithms & Approaches / Re: Stop loss after average time in trade
« Last post by admin on October 21, 2020, 09:24:15 am »
Hello Matan,

this is pretty standard feature and it is recommended to be used.

More info here: https://wiki.pairtradinglab.com/wiki/Pair_Trading_Lab_Algorithms_%26_Strategies
(look for Max Days (Time Stop Loss))

Kind regards,
Karel
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Models, Algorithms & Approaches / Stop loss after average time in trade
« Last post by Matan Bar-Haim on October 21, 2020, 09:19:28 am »
Hello all,

My pair portfolio is well-diversified in terms of pairs that I have at any given time.
The usual average time in trade both in the backtest and in trading is 10-14 days.
The problem starts when I go past the average time, the SD hasn't made any sign of returning to the mean (IE staying around the 2SD) and the pair is at an obvious loss.
Consistently for those pairs, even when the SD goes back to the mean(usually it doesn't on those pairs) I don't see any profit and usually a loss.

I was thinking about exiting the position when the average time has passed and the SD is not showing any signs of returning to the mean to give that slot to a different pair and wanted to hear if anyone has tried something like this before?

I would also appreciate any opinions on the matter.

All the best,
Matan. 
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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...
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