Recent Posts

1

Questions & Answers / question about pair trading backtest

« Last post by Willian Siquieri on July 01, 2020, 11:34:04 pm »

Hi there,

I would like to know more details about the implementation of the trading backtest strategies on PTL. For example, for a Ratio Model backtest for a given pair, what is the data that is being used to backtest (daily data, minute frame data or tick data) ?

Thanks in advance.

Willian Siquieri

2

Questions & Answers / Re: Pair trading beginner

« Last post by Seng Ng on June 19, 2020, 04:27:00 am »

Thank you so much for the help. Even with 1% returns per month. The return is very good. I am reading more around before to decide if I want to sign up PTL. I saw that there a lots of filter in the pair search in PTL site which i am not sure how to use too! If I can get around 1% return per mth, I will be very happy to sign up.

3

Questions & Answers / Re: Pair trading beginner

« Last post by Hung-Wah Cheung on June 17, 2020, 07:40:01 pm »

Hi,
First reply to a post myself.
1 - I would agree with the article that if you can get 1% a month then you'll be doing very well.
2 - How long is a piece of string? That's a very difficult question to answer. From my experience it could be anywhere from 3 to 6 months depending upon a variety of factors. Profitablility has declined but there are still pockets where you can attempt to extract some performance. Look for places where there are capacity constraints for larger players. You will always need to look for new pairs as the relationship of the pairs will deteriorate over time.
3 - That depends upon your input parameters. Are you using daily, weekly closes etc. I don't do intraday mean reversion.

Thank you

4

Questions & Answers / Pair trading beginner

« Last post by Seng Ng on June 16, 2020, 06:51:27 am »

Dear All, I am very new to pair trading and have read some information about pair trading. I just would like to understand better about pair tradings?
1. What are the annual return which can be expected?
2. If there is a draw down, how long is the drawn down last?
In this paper, it shows that pair tradings has decayed to the point that from 2003 onwards, it is not profitable. New pairs are always needed to remain some profitability.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.547.8922&rep=rep1&type=pdf
3. What is holding period for a pair, example 5 days? Can PTL do intraday trading?

Thank you so much as i have so much to learn.

5

Questions & Answers / Re: Can this website analyze non US Equities?

« Last post by admin on June 12, 2020, 04:06:39 am »

Hello,

Yes, it used to work like this for years, but since Google ceased their service in 2018, it does no longer work. Only US equities are supported for now.

Kind regards,
Karel

6

Questions & Answers / Can this website analyze non US Equities?

« Last post by Hung-Wah Cheung on June 11, 2020, 10:37:08 pm »

There was a old post mentioning that as long as there are EOD prices on Google Finance then we should be able to download those for analysis. Is that still the case?

I have tried to download pairs denominated in the same common currency and error messages come back

Thank you

7

Trading Results / Re: Anybody else noticed the change in market dynamics during the past month or so?

« Last post by Hung-Wah Cheung on June 03, 2020, 01:27:43 am »

My first post. From my personal experience H1 2018 was phenominal and then I experienced a slow grinding decay in H2 2018. 2019 was pretty much a mixed bag. So far in 2020 that trend has continued with some pairs still exhibiting tradeable forecasts whilsts others have bombed.

My extra two cents to not to look for the pairs that everyone else thinks of (KO/PEP) as an example and go for pairs that have capacity constraints. Also look at Japan, though the min lot size makes effective hedging challenging.

8

Questions & Answers / Re: PLTrader

« Last post by admin on June 01, 2020, 06:21:02 am »

Hello,

it is possible. You can mark your portfolio Trading Status as "Fully inactive" in Portfolio Manager, then PTL Trader won't enter or exit any positions automatically. In PTL Trader there are buttons "Open long", "Open short" and "Close position" for each pair of your portfolio. You can test this before you subscribe to premium, so no need to pay in order to test if this approach suits your needs. Test on paper account first.

Kind regards,
Karel

9

Questions & Answers / PLTrader

« Last post by sal mhd on June 01, 2020, 06:15:55 am »

Hi, I wanted to know if i can enter a single pair trade manually and exit manually rather than in auto. I want execution of both legs simultaneously, but i want to enter when i have a target..is this possible with this software. Or is it fully automated. Thanks

10

Questions & Answers / Re: Diverging Pairs

« Last post by admin on May 31, 2020, 08:37:10 am »

Hi Gary,

I am not sure if I understand your question. Could you please provide any explanation with example?

Karel