21
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by admin on March 03, 2023, 11:26:06 am »You can take a look to PTL Trader implementation: https://github.com/quantverse/ptltrader
Recent Posts
22
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by svkuz on March 02, 2023, 05:19:09 pm »Thank you for your answer.
I have tried this with 34 or 100 unstable period and it gives me the same z-score result.
Also, I tried changing compability and no way: https://github.com/TA-Lib/ta-lib/blob/main/src/ta_func/ta_EMA.c#L285
What else can be?
Thank you again,
Best Regards.
I have tried this with 34 or 100 unstable period and it gives me the same z-score result.
Also, I tried changing compability and no way: https://github.com/TA-Lib/ta-lib/blob/main/src/ta_func/ta_EMA.c#L285
What else can be?
Thank you again,
Best Regards.
23
Questions & Answers / PLT Trader Engine Status: Wait for hist Data
« Last post by Yiping Zhao on March 02, 2023, 09:18:42 am »Hey,
I have the IB pro account (Seems non-Pro can't use API gateway?) with below subscriptions:
US Securities Snapshot and Futures Value Bundle ($10 / month, waived for activity)
US Equity and Options Add-On Streaming Bundle ($4.50 / month)
I still keep getting the errors to failed retrieve historical data like the attachment. Anyone can help?
I have the IB pro account (Seems non-Pro can't use API gateway?) with below subscriptions:
US Securities Snapshot and Futures Value Bundle ($10 / month, waived for activity)
US Equity and Options Add-On Streaming Bundle ($4.50 / month)
I still keep getting the errors to failed retrieve historical data like the attachment. Anyone can help?
24
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by admin on March 01, 2023, 04:12:33 pm »Probably the unstable period of EMA. EMA is an infinite-response filter, so you have to set the unstable period to "cut" the history.
https://ta-lib.org/d_api/ta_setunstableperiod.html
https://ta-lib.org/d_api/ta_setunstableperiod.html
25
Questions & Answers / Z-score from EMA difference with Ratio Model
« Last post by svkuz on March 01, 2023, 05:53:01 am »Hello!
Firtly, congratulate with all work done, it's really helpful.
I have done some own tests to do backtests, and I found that your z-score its different than mine, using this backtest as a reference: https://www.pairtradinglab.com/backtests/Y-33ItOP-XTOENSI
Details:
What could be wrong in my calculations of z-score to be near of yours?
I attached my dataframe exported to excel to compare.
Thank you again,
Best Regards.
Firtly, congratulate with all work done, it's really helpful.
I have done some own tests to do backtests, and I found that your z-score its different than mine, using this backtest as a reference: https://www.pairtradinglab.com/backtests/Y-33ItOP-XTOENSI
Details:
- I am using Python to calculate all necessary values
- I am using library pandas_ta library to do the calculations of EMA and STD DEV (https://github.com/twopirllc/pandas-ta)
What could be wrong in my calculations of z-score to be near of yours?
I attached my dataframe exported to excel to compare.
Thank you again,
Best Regards.
26
Portfolio Management / Re: more than 10 pairs in one portfolio?
« Last post by admin on February 27, 2023, 10:26:26 am »27
Portfolio Management / Re: more than 10 pairs in one portfolio?
« Last post by don martin on February 26, 2023, 11:35:40 pm »OK, I see the limitation now.
However, why is this imposed?
Why not enable this multiplicity, on the basis that the first AAA to enter trade will then block all other AAA combinations?
This will enable me to track multiple combinations of AAA, and trade the first pair to reach entry signal.
The next time it will most probably be a different combinations of AAA to reach entry signal.
Thanks, Don
However, why is this imposed?
Why not enable this multiplicity, on the basis that the first AAA to enter trade will then block all other AAA combinations?
This will enable me to track multiple combinations of AAA, and trade the first pair to reach entry signal.
The next time it will most probably be a different combinations of AAA to reach entry signal.
Thanks, Don
28
Portfolio Management / Re: more than 10 pairs in one portfolio?
« Last post by admin on February 26, 2023, 03:39:03 pm »Hi,
the number of pairs per portfolio is virtually unlimited, I think the problem in your case is that you are attempting to add pairs sharing a leg with other pairs in the portfolio, so make sure you check this out...
Example: If you already have pair AAA/BBB in the portfolio, you won't able to add AAA/CCC, CCC/AAA, BBB/CCC, CCC/BBB, ...
the number of pairs per portfolio is virtually unlimited, I think the problem in your case is that you are attempting to add pairs sharing a leg with other pairs in the portfolio, so make sure you check this out...
Example: If you already have pair AAA/BBB in the portfolio, you won't able to add AAA/CCC, CCC/AAA, BBB/CCC, CCC/BBB, ...
29
Portfolio Management / more than 10 pairs in one portfolio?
« Last post by don martin on February 25, 2023, 02:13:52 am »Hi
I seem to be unable to have more than 10 pairs in one stratregy.
How can I increase this number?
(slots = 100)
from database query - search - more - more - more - add to profile -->> only 10 are added....
Thanks
Don
I seem to be unable to have more than 10 pairs in one stratregy.
How can I increase this number?
(slots = 100)
from database query - search - more - more - more - add to profile -->> only 10 are added....
Thanks
Don
30
Models, Algorithms & Approaches / Calculate the Sharpe Ratio of one pair while multiple ones are in the portfolio?
« Last post by JackBeach on February 05, 2023, 05:33:00 am »Hello all,
Is it possible to calculate the Sharpe Ratio of one pair while multiple ones are present and active in the portfolio?
Say (For the sake of example) I'm having 2 pairs in my portfolio: F/GM and PEP/KO.
I want to calculate the Sharpe Ratio of PEP/KO only.
Is that possible to do so, since both pairs are somewhat linked to my portfolio result?
I don't see a way to do what I want, except having only 1 pair in my portfolio so that it's possible to calculate the Sharpe Ratio since I will know exactly the performance of that said pair because it's going to be straightforward by using the Net Liquidity value, which of course, is suicidal.
By the way, the idea is to calculate the Sharpe Ratio using the paper/live trading account, not using the back tester.
Thanks for your help.
Is it possible to calculate the Sharpe Ratio of one pair while multiple ones are present and active in the portfolio?
Say (For the sake of example) I'm having 2 pairs in my portfolio: F/GM and PEP/KO.
I want to calculate the Sharpe Ratio of PEP/KO only.
Is that possible to do so, since both pairs are somewhat linked to my portfolio result?
I don't see a way to do what I want, except having only 1 pair in my portfolio so that it's possible to calculate the Sharpe Ratio since I will know exactly the performance of that said pair because it's going to be straightforward by using the Net Liquidity value, which of course, is suicidal.
By the way, the idea is to calculate the Sharpe Ratio using the paper/live trading account, not using the back tester.
Thanks for your help.