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Suggestions And Feature Requests / Alerts and emails?
« Last post by Vale on October 19, 2022, 02:28:27 pm »Did you add that feature? It would be nice to receive an email before placing a trade manually to enter and exit a position.
Recent Posts
52
Models, Algorithms & Approaches / Intraday Pairs Trading?
« Last post by Vale on October 19, 2022, 02:16:47 pm »How do you backtest and trade intraday the pairs? My question is related to this question inside the FAQs
]Is it better to trade intraday (during the whole day) or just at the end of the day (EOD)?
You can decide if you will handle entry/exit signals during the whole trading day (intraday trading) or if you restrict trading session to some short trading interval to imitate EOD (end-of-day) trading. There are advantages / disadvantages to both approaches.
Intraday Trading
generates more signals = more trades = more commissions paid
worse average profit per trade
usually smoother equity
real mean-reversion strategy with capped profits
EOD Trading
less trades = less capital spent on commissions
better average profit per trade
equity not that smooth
sometimes it makes additional profit caused by not exiting at exit threshold but later
real trading results are much closer to EOD backtests
There are also hybrid setups possible (for instance, entering positions EOD but closing intraday or vice versa).[/i][/i][/b]
]Is it better to trade intraday (during the whole day) or just at the end of the day (EOD)?
You can decide if you will handle entry/exit signals during the whole trading day (intraday trading) or if you restrict trading session to some short trading interval to imitate EOD (end-of-day) trading. There are advantages / disadvantages to both approaches.
Intraday Trading
generates more signals = more trades = more commissions paid
worse average profit per trade
usually smoother equity
real mean-reversion strategy with capped profits
EOD Trading
less trades = less capital spent on commissions
better average profit per trade
equity not that smooth
sometimes it makes additional profit caused by not exiting at exit threshold but later
real trading results are much closer to EOD backtests
There are also hybrid setups possible (for instance, entering positions EOD but closing intraday or vice versa).[/i][/i][/b]
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Models, Algorithms & Approaches / Re: Do you also feel that the Residual Model performs poorly?
« Last post by Lee Umberleigh on October 15, 2022, 01:39:44 pm »Hi Jack,
Have you tried using the Johansen Test to model multiple pairs instead of just 2 pair? I'm wondering if this might strengthen the cointegration force that pulls the spread back towards the zero line.
Lee
Have you tried using the Johansen Test to model multiple pairs instead of just 2 pair? I'm wondering if this might strengthen the cointegration force that pulls the spread back towards the zero line.
Lee
54
Questions & Answers / Re: Is it possible to get the pair trade history in a CSV/JSON/TXT file?
« Last post by admin on September 19, 2022, 03:54:03 am »Perfect!
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Questions & Answers / Re: Is it possible to get the pair trade history in a CSV/JSON/TXT file?
« Last post by JackBeach on September 10, 2022, 06:51:04 am »Hi Karel,
I got it all working like a charm, thank you so much for your advise !
I got it all working like a charm, thank you so much for your advise !
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Models, Algorithms & Approaches / I want to get the cointegration p-value using Python: which package best to use?
« Last post by JackBeach on August 26, 2022, 12:02:33 pm »Hello, Karel & Community,
While the PTL database is amazing and pretty accurate (backtesting and actually trading the pair seem aligned in term of perf), I need to compute the cointegration p-value using Python for some reasons.
I've been doing a lot of research, but there are soooo many Python packages available out there to compute the p-value, that I would like to know which one you recommend, and why?
Examples of python packages providing the calculation of the p-value:
While the PTL database is amazing and pretty accurate (backtesting and actually trading the pair seem aligned in term of perf), I need to compute the cointegration p-value using Python for some reasons.
I've been doing a lot of research, but there are soooo many Python packages available out there to compute the p-value, that I would like to know which one you recommend, and why?
Examples of python packages providing the calculation of the p-value:
- One step only: statsmodels.tsa.stattools with coint()
- Two steps: statsmodels.api with OLS() + statsmodels.tsa.stattools with adfuller()
- scipy.stats with linregress()
- Etc.
57
Questions & Answers / Re: Trying to get started with a portfolio
« Last post by admin on August 25, 2022, 10:02:47 am »Replied your support ticket. Yes, there is a hard limit (given by IB)...
58
Questions & Answers / Re: Is it possible to get the pair trade history in a CSV/JSON/TXT file?
« Last post by admin on August 25, 2022, 10:01:44 am »No, it is stored at PTL's backend and synced each time the application starts. You could actually use PTL's API to fetch the trade history. Take look at PTL Trader's source code to find the API endpoint....
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Questions & Answers / Re: Can NYSEMKT also be traded?
« Last post by admin on August 25, 2022, 10:00:19 am »Yes it should be tradeable as well...
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Questions & Answers / Can NYSEMKT also be traded?
« Last post by JackBeach on August 23, 2022, 06:11:08 am »Hello Karel,
Can instrument listed at the NYSEMKT also be traded?
In the FAQ (https://www.pairtradinglab.com/faq#ptl-website-instruments) it says we can only use US stocks and ETFs listed on following exchanges:
So I would like to check with you if NYSEMKT is a miss, or it indeed cannot be traded?
Can instrument listed at the NYSEMKT also be traded?
In the FAQ (https://www.pairtradinglab.com/faq#ptl-website-instruments) it says we can only use US stocks and ETFs listed on following exchanges:
- NYSE
- NASDAQ
- NYSEARCA
So I would like to check with you if NYSEMKT is a miss, or it indeed cannot be traded?