Author Topic: Ratio model parameter settings  (Read 947 times)

Marc Wengenroth

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Ratio model parameter settings
« on: March 24, 2018, 05:57:20 am »
Hello team,

you offer a really good service with this website and all those tools but I´m missing some functions for traders who use a little different approaches than the standardized statistical arbitrage.

For my pair trades I often only consider the absolute value of the spread between two stockprices as entry. For example if I can see that in 20 years the ratio between two stocks has never been lower than 1 and never above 1.6 and I want to proceed a backtesting based on a strategy which buys/sells those two stocks only at the historical highest or lowest point of the spread then this is not possibly with your tool because you demand all those additional parameters like standard deviation etc...

Second thing is that I use the absolute current difference to the mean instead of using the standard deviation because the standard deviation mostly is much lower and often gains entries which lead to a loss. I cannot find any option or input field that allows to not consider the standart deviation and to consider an absolute difference.

Is it really like that or am I just not able to find out how it works?

Would be great if you could give some hints if it is possible because I´m an IB customer and I´d love implement an automated trading strategy since I found your website today.

Many thanks and kind regards,
Marc

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Re: Ratio model parameter settings
« Reply #1 on: March 24, 2018, 05:58:36 am »
Hi Marc,

this is an interesting approach (trade long-term extremes only), but we do not provide any support for this way of trading statistical arbitrages at this moment.

We may plan to support this approach in the future but we are not able to promise that or give any estimates.

Thanks for your tip anyway!

Kind regards,
Karel