Author Topic: More detailed grouping of stocks in the pair database  (Read 3186 times)

Ray Zhung

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More detailed grouping of stocks in the pair database
« on: January 04, 2018, 09:24:39 am »
Hi,

Is it possible to expand the grouping of stocks from the current setup of majors sectors, to much more detailed grouping by specific industry. For instance in the financial sector there are insurance brokers, regional banks, mortgage investment, etc.. Would love to have a drop down list to further select certain industry after selecting the sector (this option of course can be forgone). FINVIZ has a very extensive and detailed industry list in their screener (can be trimmed down a little bit too), would love to see that in the pair database.

From my experience, pair database can generate tons of pairs from different sectors that are cointegrated and profitable during the lookback period; but if I want a reliable pair that doesn't break down over time, and stretch the lookback period from 3 years to just 5 years, vast majority of the pairs that I found which look too good to be true then disqualify. The remaining ones are almost always from the same sector, since they actually have fundamental reasons to be cointegrated through long period of time. However, the current grouping of sector is not really concise (I encountered stocks don't belong to certain sectors, and lots of ungrouped stocks that have no sector affiliations), and because of that  I might be missing out a lot of pairs from the same industry that have strong fundamental reasons to be cointegrated over time.

Thank you very much for the work you do and please take this into consideration.
« Last Edit: January 04, 2018, 09:27:13 am by Ray Zhung »

admin

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Re: More detailed grouping of stocks in the pair database
« Reply #1 on: January 04, 2018, 09:46:00 am »
Hello,

this is a good idea and a well thought feature request. Adding to our TODO list.

Kind regards,
Karel

Ray Zhung

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Re: More detailed grouping of stocks in the pair database
« Reply #2 on: February 12, 2018, 11:49:02 pm »
Just to piggyback on what I suggested earlier, can we get a feature in the pair database that filters different foreign stock markets? It would allow us to only find pair in certain market/exchange. I don't know if there's a way to do it already but I feel like this feature is desperately needed. Thanks!

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Re: More detailed grouping of stocks in the pair database
« Reply #3 on: February 14, 2018, 05:48:24 am »
Could you be more specific, please? Pair database contains only US stocks at the moment...

Ray Zhung

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Re: More detailed grouping of stocks in the pair database
« Reply #4 on: February 15, 2018, 09:17:54 am »
Ok I didn't know that. I saw foreign stocks in the pair analysis thought the database contains them as well. Would be superb to have them in there though  8), cheers!