Author Topic: Implication of new analysis function  (Read 4943 times)

Friedel Hacker

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Implication of new analysis function
« on: January 15, 2015, 07:58:59 am »
Hi,
I am wondering, what weight you contribute to the analysis function as a whole, not to speak (yet) of the specific data it delivers. - I couldn't find any more information than the announcement and the wikipedia link.

Is the proof (ie. high probability) of cointegration in your estimation a NECCESSARY condition of a pair to be worth trading?

Kind regards and thanks for your excellent site!
Friedel

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Re: Implication of new analysis function
« Reply #1 on: January 15, 2015, 04:02:26 pm »
Hi,

in general, we contribute pretty serious weight to the analyzer functionality. But it contains a lot of data, so it depends, what types of pairs are you interested in.

If you just want to trade mean-reversion, you should really check the cointegration and residuals.

If you want to run just one-way arbitrage (i.e. long-only pair positions), you don't need to look at cointegration at all.

In any case, look at profit analysis - you can see the distribution of profits over models and parameter.

Cointegration is NOT a necessary condition for pair to be worth to trading, however it is quite interesting indication that it may be.

At this moment we are implementing new database system with millions of pairs using also the cointegration. We will use it to make a research of how exactly cointegration is affecting out-of-sample pair trading performance.

We are sorry there are no tutorials of how to use all the data seen in the analysis (cointegration, residuals, PACF) yet, because we are really focused to development now. However, we will definitely make some in few months. For the time being please search over the internet for cointegration based pairs trading,  you will definitely find something useful.

Friedel Hacker

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Re: Implication of new analysis function
« Reply #2 on: January 16, 2015, 05:49:27 am »
Hi,
thanks a lot for your reply, it provides a lot of useful orientation for me! I really appreciate your site and your efforts, please keep doing this amazing work!

Kind regards
Friedel

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Re: Implication of new analysis function
« Reply #3 on: January 17, 2015, 04:08:43 pm »
Thanks!

And good luck with your trading!