Intraday Pair Trading/Stat Arb

Well, this is definitely going to take some time. It's a shame that there is not a place that will allow intraday testing and backtesting for pairs and baskets. Going to have to do everything separately...this will probably have to drawn out further...
 
Quote from Bob111:

as i said before-when you create your own application for whatever-it gives you most important thing-flexibility. yeah..drag and drop would be nice,but.. idea and writing is actually easy part. SQA is a real pain in a** :p

want some ready to go solutions? here:

http://www.amazon.com/Professional-...=UTF8&qid=1321324401&sr=1-8#reader_0971853649

page 46-59...good luck with their "system" :p

hey..there is more:

http://www2.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=10
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Thanks for the links.

The system I worked on before is performing well, but I need a better way of finding signals. The way I do it now is so ineffecient. Will have to work some way around that. I don't feel like its right to have that not be optimal and start focusing alot on this. I have a tendency to jump around and get too focused on one thing so will have to take care of that before I jump too far into this!
 
Quote from Shanb:

Thanks for the links.

The system I worked on before is performing well, but I need a better way of finding signals. The way I do it now is so ineffecient. Will have to work some way around that. I don't feel like its right to have that not be optimal and start focusing alot on this. I have a tendency to jump around and get too focused on one thing so will have to take care of that before I jump too far into this!
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Just browsed the book and there is an easylanguage code for a system. That is exactly the kind of thing that I was looking for. Didn't think you could do that like in something like TS. Thanks Bob11...I will have to get that book.
 
the book comes with cd.you can copy\past code into tradestation(not sure how it's going to work with their current platform). tell you more-you don't even have to buy the book..all the code from book was on tradestation forum(at least i saw it,when it was available for everyone.) but like i said-do not expect that something will work for you right out of the box. book might give you an idea how to create and test system,but no more than that. and working with TS is a pain in a**. at least for me.

same for wealth lab. should be tons of code for pair trading and all that ** on their forums. but once again-none of these ever worked for me. not the books,not code. not any trading soft. i did create my stuff from scratch. it's a long way,but imo-well worth it.
 
Quote from EEUT84:

3. You are looking for intraday reversion.
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IMO, you'll make more money and be more consistent modeling for divergence.

And yes, this is an excellent strategy but for higher frequency timeframes the slippage and ECN performance is everything. The really successful groups doing this tend to invest heavily in the infrastructure. Like dedicated lines, servers, very robust software, etc. etc.
 
Quote from bone:

IMO, you'll make more money and be more consistent modeling for divergence.

And yes, this is an excellent strategy but for higher frequency timeframes the slippage and ECN performance is everything. The really successful groups doing this tend to invest heavily in the infrastructure. Like dedicated lines, servers, very robust software, etc. etc.
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I could never get the hang of this. I'm guessing you need a driver to start the pair divergence? Why not just trade the single name that is trending due to the driver?
 
Quote from EEUT84:
I could never get the hang of this. I'm guessing you need a driver to start the pair divergence? Why not just trade the single name that is trending due to the driver?
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Good question, why not just trade the single trend driver?
How about trading for intraday mean reversion only in the direction of weekly pair divergence? Which is better for direction, weekly or monthly divergence trend?
 
Quote from EEUT84:

I could never get the hang of this. I'm guessing you need a driver to start the pair divergence? Why not just trade the single name that is trending due to the driver?
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Because you want to insulate yourself from the delta directionality of the flat price directional markets ( the broad equity market like the S&P Index ). The idea is that you profit from the spread differential movement and you are theoretically hedged against the broad market. Rain or shine. Most traders ultimately find that the spread differential is much better behaved in terms of modeling and trade performance than the flat price market anyway. Much.
 
Why does everybody want to do the same strategies? You read a book, see a few results and think its like winning the lotto. Mean rev is popular now a days, because its seems easy.

If Bones and Chan are so good why are they not making millions with a hedge fund?

Don't you wonder when you see grown man hanging on Elite?
 
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