Recent content by Kevin_in_GA

So your strategy here is to short EFX and go long NOC? If so, how did it play out today?

I asked Jared this exact question, as I noticed the same thing. Here is his response: Kevin, This depends on the datafeed and the stocks. Using the yahoo feed with large stocks is correct 99.9% of the time, they adjust the prices and are reflected in our historical data, with IQfeed it's...

Equifax versus Northrup Grumman? 1. These are not in the same sector or industry, which while not required is usually a good thing. 2. I ran a series of Johanson tests on this pair, across four different time frames since 2008, and in no case are they showing co-integration. This...

System Preferences -> General Options Change your update frequency to something faster than the default (300 seconds). Other than that I got nothing.

You're correct - that was a typo. Correct number is $147.33.

There is always a now when it comes to placing a trade, but let's avoid philosophical arguments for the moment. I agree that the half-life needs to be considered when trading pairs, since it helps in managing your trades. PTF gives you and "average days in trade" number which is not the...

Well, the shortest you can go with PTF is 1 year. If the average trade is 8-15 days, then a 252 day look-back (1 year) would probably be fine. Personal thoughts here (currently unsupported by backtest data) is that long term cointegration is secondary to short-term. Having both is good...

I haven't seen one yet. Also got feedback from Jared that he is now thinking that shorter time-frames for cointegration make more sense for trading. Kevin

install from www.pairtradefinder.com/PairTradeFinderSetupV303.msi

OK, interesting update. I talked with Jared and asked him specifically about the time frame over which PTF determines the co-integration between a pair. He indicated that it is "based on the total period of data for the stocks." That got me thinking ... does that mean that if I were to...

Not really sure - cointegration clearly is time frame dependent, but is still somewhat of a black box to me as well. I plan to take a small set of stocks and look at varying the settings in PTF to better understand what inputs are used in their calculation of cointegration. As to why your...

Some further thinking on PTF: Having used the new version for about 6 weeks, I am pretty satisfied. Several things need some work for the next upgrade, though: 1. The ability to add either correlation or cointegration metrics into the trade signals (e.g., only trigger a signal when the...

Nice work. What software are you using to generate these results? Also, is there a time-based input into the co-integration metric? I have asked Jared at PTF about this but have not gotten any response yet. Thanks! Kevin

I have been using the new version of PTF (3.01) for about two weeks. The interface is essentially unchanged from prior versions (the last I used before the 2.99 demo was 2.89, and it is basically the same). The inclusion of co-integration is nice, but I am still trying to relate the...