Help me make a tool for pair trading

Robert Morse said:
I agree that the reversion to the mean pairs trading of similar securities has not worked well in a while. I have some institutions that both day trade and swing trade, long/short baskets based on their data set and are doing well. Any where from 30 to 2000 symbols. The quant work is done overnight.
More...

You bring up a most excellent point. Modern data mining and advanced statistical analysis for complex relative value spreads work quite well. I’ve heard the same from Jump Tradings in Chicago about basket trades - it’s a deep dive.
 
chvid said:
Did any of you actually get the tool to work?

Ie. by going directly to a concrete pair:

http://pt.christianhvid.dk/#AAPL-GOOG
More...
Yes, it works for me (I'm using Firefox). I've tried a few combinations: UNG-USO, SPY-SH, RSX-SH. Just for fun, playing a bit.
I do not understand the vertical axis unit on the Long/Short Price Chart. Is this USD or percent? If it is percent: percent of what is indicated?
In the correlation chart is it not explained what the percentages on the axis indicate.
I guess it only works for stocks and not for futures?
 
HobbyTrading said:
Yes, it works for me (I'm using Firefox). I've tried a few combinations: UNG-USO, SPY-SH, RSX-SH. Just for fun, playing a bit.
I do not understand the vertical axis unit on the Long/Short Price Chart. Is this USD or percent? If it is percent: percent of what is indicated?
In the correlation chart is it not explained what the percentages on the axis indicate.
I guess it only works for stocks and not for futures?
More...
It is the value (in USD) of the portfolio where you buy 100 USD worth of A and sell short 100 USD worth of B at the start of the graph (1 year ago).

Maybe saying the unit is percentage (%) of 100 USD makes it clearer and still correct? (I couldn't figure that one out so I just left it.)

Futures are not supported; the tool relies on data from IEX which does not have futures.
 
You must log in or register to reply here.
Back
Top