Ptf as an ipad apps directly would be nice and easy to use.
Pair Trading Strategy Journal
- Thread starter jonnysharp
- Start date
Why use another program? It would be better if ptf can be an apps itself,direct access, less crashes, more buyers.
QUOTE]Quote from reggieb:
Im just going with what is..Im accessing the program through ipad using remote desktop.... not waiting for an APP come out coz thats highly unlikely in the near to medium term and id put money on it.. If the program is not going to a web based interface (which i think is more priority than an app) and the bugs are still there on the current system that im getting then the last thing Jared would want to sink money into is an app development program.
I use a Remote access program and thats the reality as we speak because the crashes and bugs are giving me the shits big time at the moment i can monitor on the road whether PTF has crashed again (see previous post with errors i posted) or have someone else check it and look into it and restart the backtest.
An App for PTF ..unlikely for the moment. Would love one but that would also mean accessing data off a server or something and ive suggested many times and thats a slim possibility so a resident program on a harddrive is here to stay by the look.
PTF is the only installed purchased software i use on my pc. All my ohter stuff in by web interface - membership subscription based, all synced .. got rid of resident software ages ago.. [/QUOTE]
theres one answer to less crashes...
Dont use MySQL and get out of Microsoft all together
Im just going with what is..Im accessing the program through ipad using remote desktop.... not waiting for an APP come out coz thats highly unlikely in the near to medium term and id put money on it.. If the program is not going to a web based interface (which i think is more priority than an app) and the bugs are still there on the current system that im getting then the last thing Jared would want to sink money into is an app development program.
I use a Remote access program and thats the reality as we speak because the crashes and bugs are giving me the shits big time at the moment i can monitor on the road whether PTF has crashed again (see previous post with errors i posted) or have someone else check it and look into it and restart the backtest.
An App for PTF ..unlikely for the moment. Would love one but that would also mean accessing data off a server or something and ive suggested many times and thats a slim possibility so a resident program on a harddrive is here to stay by the look.
PTF is the only installed purchased software i use on my pc. All my ohter stuff in by web interface - membership subscription based, all synced .. got rid of resident software ages ago.. [/QUOTE]
theres one answer to less crashes...
Dont use MySQL and get out of Microsoft all together
Hello,
first, thank you all for a very nice thread. Reading it from the beginning and now on page 180
I am now setting up a pair trading system for myself (by using my own screening software). The goal is to track about 100 selected pairs, and keep opened 7-10 pairs at the same time, so the capital allocation is efficient and there is some level of diversification.
I want to setup full automated system so I will not need to touch it for some period.
Right now I selected OpenQuant and Interactive Brokers as a platform and broker and already backtested some test pair portfolio. The expected yearly gain (cagr) of the portfolio is around 50%.
I wanted to ask - is anyone here using full automated solution? Next question is - this is an EOD strategy based on information in daily bars. What is the suggested way of evaluating trade rules and opening position? I thought maybe the strategy should be evaluated for instance each day 30 mins before market close and then use market order to open position?
Or should i use some MOC orders or even some IB special combo orders?
Thanks...
first, thank you all for a very nice thread. Reading it from the beginning and now on page 180
I am now setting up a pair trading system for myself (by using my own screening software). The goal is to track about 100 selected pairs, and keep opened 7-10 pairs at the same time, so the capital allocation is efficient and there is some level of diversification.
I want to setup full automated system so I will not need to touch it for some period.
Right now I selected OpenQuant and Interactive Brokers as a platform and broker and already backtested some test pair portfolio. The expected yearly gain (cagr) of the portfolio is around 50%.
I wanted to ask - is anyone here using full automated solution? Next question is - this is an EOD strategy based on information in daily bars. What is the suggested way of evaluating trade rules and opening position? I thought maybe the strategy should be evaluated for instance each day 30 mins before market close and then use market order to open position?
Or should i use some MOC orders or even some IB special combo orders?
Thanks...
Quote from sals3r0:
Hello,
first, thank you all for a very nice thread. Reading it from the beginning and now on page 180
I am now setting up a pair trading system for myself (by using my own screening software). The goal is to track about 100 selected pairs, and keep opened 7-10 pairs at the same time, so the capital allocation is efficient and there is some level of diversification.
I want to setup full automated system so I will not need to touch it for some period.
Right now I selected OpenQuant and Interactive Brokers as a platform and broker and already backtested some test pair portfolio. The expected yearly gain (cagr) of the portfolio is around 50%.
I wanted to ask - is anyone here using full automated solution? Next question is - this is an EOD strategy based on information in daily bars. What is the suggested way of evaluating trade rules and opening position? I thought maybe the strategy should be evaluated for instance each day 30 mins before market close and then use market order to open position?
Or should i use some MOC orders or even some IB special combo orders?
Thanks...
Automated system is the way to go if you can figure it out. Some very highly cointegrated pairs move in and out all day long. Others move slow enough that EOD or next day EOD is good enough. Depends if you want to skim or few large gains. I also think your idea of 7-10 pairs at a time is good, more would be better IMO. 1 out of 10 times statistics WILL go against you.
I have been at it for few months but can't seem to make it work. Maybe I need a math major before diving deeper...
I don't want to rain on your parade but a much more realistic expectation is to make 5% to 10% on an unleveraged portfolio of pairs with up to a 20% drawdown along the way.
I suppose each of us have their own criteria and 5%-10% is ok if you are faced with what the banks currently give. 20% is probably high but that said .. it is unleveraged.
In Australia however theyre offering 6.5% http://www.ubank.com.au/ub/web/home so im not sure if the lower of the range would be worth all the effort vs 20% DD
anyway .. everyones feedback is always welcome