Recent Posts

11

Models, Algorithms & Approaches / Re: Some questions on the statistics

« Last post by JackBeach on July 17, 2022, 08:04:58 pm »

Hi, PTL Team,

Is the real-time bid/ask spread really happening in real-time in PTL Trader, or let's say every 1, 2 or 3 seconds.?

I'm trying to see if it really makes sense to have the lowest latency possible in my setup.

12

Questions & Answers / Does PTL Trader Linux give better performances in term of latency than Windows?

« Last post by JackBeach on July 17, 2022, 12:38:56 pm »

Hello PTL Community,

Has anybody ever checked and was able to confirm if PTL Trader Linux version gives better performances than the Windows one, in term of latency?

I'm looking to reduce the latency as much as I can, therefore trying to optimize ever single piece of the chain.

13

Technical Details / IBKR pricing (Fixed/Tiered) and algo routing (SMART): what is the best?

« Last post by JackBeach on July 17, 2022, 12:30:04 pm »

Hey there,

For pair trading with PTL Trader and IBKR:
- what is the cheapest pricing to go for: Fixed or Tiered?
- as to the algo routing, from your experience, which SMART routing is best: Multipurpose or MaxFill (Maximise fill)?

14

Suggestions And Feature Requests / Compute portfolio performances based on different slots number and sort fields

« Last post by JackBeach on July 17, 2022, 10:43:07 am »

Hello, Karel,

I've been intensively playing with the backtester, which is truly amazing. So, big Kudos to you!

I think, there is a way to improve even more the efficiency of the backtester, in order to make it faster for the user to take a decision.

Here is a concrete use-case, and what I have in mind to make PTL backtester even better than what it already is: I've created a portfolio comprised on 20 pairs, but I want to automatically generate all the different combinations possible in term of slots number (10, 11, 12, and so on...) but for each result, I would like to be able to sort them based on two sort fields: Max drawdown and/or Sharpe Ratio, preferably in the descending order 

Is it something that you think could be implemented?

15

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

« Last post by JackBeach on July 15, 2022, 10:33:55 pm »

Thank you!

16

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

« Last post by JackBeach on July 15, 2022, 10:15:40 am »

Thanks, Karel 

About the RSI Threshold, what would be the default value?

I can't seem to find it in the wiki 

17

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.

18

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.

19

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?

20

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