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Statistical arbitrage a.k.a. Pairs Trading #434809
12/27/13 11:06
12/27/13 11:06
Joined: Dec 2013
Posts: 10
A
AttilaZ Offline OP
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AttilaZ  Offline OP
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Posts: 10
With my limited Zorro knowledge accumulated thus far I assume that "pairs trading" is possible with Zorro.

That is : taking at least 2 assets, whose spread is cointegrating (mean reverting), buying the under performer and selling the over performer. That old gag. laugh

For that technially I need to asset() calls
create the spread series (diff of the 2 assets close prices)

And do some linear regression / kalman-filtering to get the legs correct.

Is this strategy feasible to implement ? I mean ever building block is given by Zorro as far as I see. Please correct me If I am wrong.

Best,
Attila

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: AttilaZ] #434811
12/27/13 14:04
12/27/13 14:04
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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Yes, that sounds like a serious strategy that should be straightforward to implement.

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: jcl] #434814
12/27/13 16:06
12/27/13 16:06
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AttilaZ Offline OP
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AttilaZ  Offline OP
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Ok, I'll dive under, I'll keep you posted on the results.

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: AttilaZ] #467555
08/12/17 03:11
08/12/17 03:11
Joined: Nov 2016
Posts: 55
Taipei
ytc Offline
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ytc  Offline
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Taipei
When using kalman filter for dynamic hedge ratio of a cointegrated pair, will you consider C++ libraries such as KFilter, or R packages such as KFAS, DLM, or code one by yourself?

Also, it's greatly appreciated if someone can demonstrate a simple example since I got stuck on this issue for a long time crazy .

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: ytc] #471486
03/06/18 07:33
03/06/18 07:33
Joined: Feb 2018
Posts: 236
Italy
tradingest Offline
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tradingest  Offline
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Italy
Somebody post any examples or link to see how to build the pairs strategy?

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: tradingest] #471498
03/06/18 17:52
03/06/18 17:52
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Hredot Offline
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This sounds interesting. What are some example assets?
I might give it a try and will post my code if it works, like I did with the Dual Momentum script.

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: Hredot] #471506
03/06/18 22:46
03/06/18 22:46
Joined: Feb 2018
Posts: 236
Italy
tradingest Offline
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tradingest  Offline
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Italy
Dax and cac40 are two good assets for pairs trading. For my vision is also possible with eurusd and gbpusd.

We can build it together. We can try!

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: tradingest] #471508
03/07/18 00:37
03/07/18 00:37
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Hredot Offline
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I seem to find several different hits for these abbreviations. Could you post yahoo finance links to the exact assets?

Re: Statistical arbitrage a.k.a. Pairs Trading [Re: Hredot] #471509
03/07/18 01:39
03/07/18 01:39
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online
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AndrewAMD  Online
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Those are stock indices. Either trade index futures or equivalent ETFs.

EDIT: Oh yeah, there's also some CFD's.

Last edited by AndrewAMD; 03/07/18 12:33.
Re: Statistical arbitrage a.k.a. Pairs Trading [Re: Hredot] #471515
03/07/18 07:19
03/07/18 07:19
Joined: Feb 2018
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Italy
tradingest Offline
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Italy
Originally Posted By: Hredot
Could you post yahoo finance links to the exact assets?


You can find it with the symbols below from yahoo.com

GDAXI
FCHI

The pairs trading is it possible to apply it at different instrument correlated and cointegrated

Last edited by tradingest; 03/07/18 07:20.
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