Recent Posts

51

Suggestions And Feature Requests / Re: Alerts and emails?

« Last post by admin on October 20, 2022, 01:22:14 pm »

Hi,

we don't plan to implement e-mail alerts. But feel free to modify the PTL Trader to support this feature (it is an open source software and anyone can modify it). Or hire someone to do it for you.

Kind regards,
Karel

52

Models, Algorithms & Approaches / Re: Intraday Pairs Trading?

« Last post by admin on October 20, 2022, 01:17:38 pm »

Hi,

we don't provide backtester for intraday trading. This would require to use expensive tick data and advanced backtester, which is out of the scope of this product.

You can trade intraday using PTL Trader as mentioned in the FAQ. But no backtest is possible - you have to use paper trading to evaluate the performance.

53

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.

54

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]

55

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

56

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!

57

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 ! 

58

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:

• One step only: statsmodels.tsa.stattools with coint()
• Two steps: statsmodels.api with OLS() + statsmodels.tsa.stattools with adfuller()
• scipy.stats with linregress()
• Etc.

59

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)...

60

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....