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81

Questions & Answers / Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by admin on July 15, 2022, 08:04:38 am »

Hi,

you can find those in the online backtester tool. Try for yourself.

82

Models, Algorithms & Approaches / Re: RSI and earnings filtering

« Last post by admin on July 15, 2022, 07:54:18 am »

The difference is negligible. You should determine optimal parameters yourself by making multiple backtests.

83

Models, Algorithms & Approaches / Re: RSI and earnings filtering

« Last post by JackBeach on July 14, 2022, 12:24:46 pm »

Hello Karel,

I see in the Wiki that the default value for the RSI = 15, but on the web, the default value usually used for the RSI is 14.

From your experience, is there really a noticeable difference between the two?
Which one is supposed to give better results as default value?

84

Questions & Answers / Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by JackBeach on July 14, 2022, 11:10:56 am »

Hello Karel,

I'm reading about the different Pair Trading Models offered by PTL (https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models), and I would like to know what are the default parameters for the following two models:
- Kalman-grid Model (v2)
- Kalman-auto Model

Thank you 

85

Models, Algorithms & Approaches / Re: A/B vs B/A

« Last post by admin on July 13, 2022, 03:00:14 pm »

about this:

7) what is the meaning difference between the blue (white center) vs green icon that appears at the top right corner of each pair section after a database query?

Sorry but I don't understand that question. Maybe make a screenshot and mark it for me? In general all icons in pair databaase search results give you a tool hint when you hover your mouse  on them and wait for a second.

86

Models, Algorithms & Approaches / Re: A/B vs B/A

« Last post by admin on July 13, 2022, 02:56:54 pm »

about #2:

* the Q-Q plot is for orthogonal residuals (orthogonal linear regression between two price series)
* the x/y plot is just stock prices plotted in a scatterplot

87

Models, Algorithms & Approaches / Re: A/B vs B/A

« Last post by Ernesto Coatimundi on July 05, 2022, 02:00:59 pm »

#2) on the page Analysis of A/B : Q-Q plots and the x=..., y=... plots


#6) more than good idea; VERY necessary. In fact download of these data as well as all other tables or prefereably entire analysis-pages to some sort of spreadsheet format is useful for record keeping

Here is one more:
7) what is the meaning difference between the blue (white center) vs green icon that appears at the top right corner of each pair section after a database query?

Thx

88

Models, Algorithms & Approaches / Re: A/B vs B/A

« Last post by admin on July 04, 2022, 03:57:16 pm »

Hi!

ad 1) This applies to almost all metrics except orthogonal regression / stats. You can try yourself by using Analyze Pair - try it for both versions and see for yourself...

ad 2) What plots do you mean?

ad 3) https://www.pairtradinglab.com/faq#ptl-website-system-score

ad 4) It does not look like this at the first sight because it uses log scale and in this case it covers quite large range. But it is there.

ad 5) You can only add pairs which don't contain equities present in the portfolio already in other pairs...

ad 6) Nope but it is a good idea...

89

Models, Algorithms & Approaches / A/B vs B/A

« Last post by Ernesto Coatimundi on June 30, 2022, 02:49:46 pm »

I have just joined and have a few elementary questions:

1. After running a query I see a list of pairs. In the detail page of pair there are data for pair A/B but also can toggle to B/A. How are these pairs of the same two symbol different? (other than the "half-life" mentioned in the wiki)

2. Are the plots for log-returns or simple returns of the premium series?

3. What is the definition of SCORE?

4. Please look at the attachment. The result shows a 44% max DD. But the equity curve shown nothing like that. What am I missing?

5. From the Backtest page the drop down (Add to portfolio) shows the portfolio names in stricken font and grayed out. The gray goes away randomly and I can add a strategy to the portfolio. what could be the problem?

6.It'd be nice to see the date and values of the plots such as price and correlation at the cursor. Is something like this available?

Thanks in advance.

90

Questions & Answers / Re: Change of slot number does not change performance in the backtest

« Last post by admin on March 14, 2022, 10:49:14 am »

CAGR might not differ much by just changing max slots. It depends on more things. Please read more about slots & money management in the manual in order to understand this perfectly: https://wiki.pairtradinglab.com/wiki/Pair_Trading_Lab_Portfolios

Look at this example:

10 max slots: https://www.pairtradinglab.com/portfolio_backtests/Yi9UHrYB2unsf33-
20 max slots: https://www.pairtradinglab.com/portfolio_backtests/Yi9U0oUW2S5Ou6Do

Focus on the Slot Usage chart...is it more clear now? Think more about relationship of max slots and amount of pairs in the portfolio. CAGR only changed a bit here.