Author Topic: Default parameters for Kalman-grid Model (v2) and Kalman-Auto  (Read 283 times)

JackBeach

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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  :)

admin

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Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
« Reply #1 on: July 15, 2022, 08:04:38 am »
Hi,

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

JackBeach

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Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
« Reply #2 on: July 15, 2022, 10:33:55 pm »
Thank you!

JackBeach

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Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
« Reply #3 on: July 18, 2022, 08:41:12 pm »
Hi Karel,

In the wiki here https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models, it states that:

"To give some insight on performance: we took 300 best performing pairs from PTL database in period Jan 2013 - Jan 2016. Then we backtested all 300 pairs using out-of-sample period (Jan 2016 - Sep 2016) and we compared their performance. Models used: Ratio(per 14), Residual(20), Kalman Grid v1, Kalman Grid v2 using exit threshold of -1 (normal) and 0 (aggressive). Margin 50% (Req-T)."

Is the aggressive really using an exit threshold of 0? Shouldn't 0 be the normal/default value instead? Just wondering if it is a typo or if the exit threshold is different using ratio vs Kalman...


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Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto
« Reply #4 on: July 20, 2022, 07:10:36 am »
Yes, you are right. Edited the documentation.