Gamestudio Links
Zorro Links
Newest Posts
Please consider
by DriftWood
Today at 03:10
Draw stuff from other thread
by Superku
Yesterday at 23:25
Partial fills with MT4 in live trading?
by Sphin
Yesterday at 19:06
New Zorro version 1.83
by DdlV
Yesterday at 13:55
Cubemaps losing mipmaps
by Quad
Yesterday at 12:37
Zorro & virtual desktops & Installation
by jcl
Yesterday at 10:59
ccyStrength() only working for some Currencies
by sdh309795gaas
07/18/18 05:02
AUM Magazine
Latest Screens
Evonet Beta v1.0 : Online Project Development Template
Lake scene
Forgotten Tales - Demo version
RPG PARTY
Who's Online
14 registered (mk_1, alibaba, 3run, Quad, kvm, jenGs, Denn15, Hopoe, oligodar, 2 invisible), 524 Guests and 3 Spiders online.
Key: Admin, Global Mod, Mod
Newest Members
DJ_Algo, tang, stuvwx210277, refltr, hillab
18002 Registered Users
Page 1 of 2 1 2 >
Topic Options
Rate This Topic
#434809 - 12/27/13 12:06 Statistical arbitrage a.k.a. Pairs Trading
AttilaZ Offline
Newbie

Registered: 12/22/13
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

Top
#434811 - 12/27/13 15:04 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: AttilaZ]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26397
Loc: Frankfurt
Yes, that sounds like a serious strategy that should be straightforward to implement.

Top
#434814 - 12/27/13 17:06 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: jcl]
AttilaZ Offline
Newbie

Registered: 12/22/13
Posts: 10
Ok, I'll dive under, I'll keep you posted on the results.

Top
#467555 - 08/12/17 05:11 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: AttilaZ]
ytc Offline
Junior Member

Registered: 11/22/16
Posts: 55
Loc: 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 .

Top
#471486 - 03/06/18 08:33 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: ytc]
tradingest Offline
Junior Member

Registered: 02/27/18
Posts: 77
Loc: Italy
Somebody post any examples or link to see how to build the pairs strategy?

Top
#471498 - 03/06/18 18:52 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: tradingest]
Hredot Online
Member

Registered: 09/11/17
Posts: 229
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.

Top
#471506 - 03/06/18 23:46 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: Hredot]
tradingest Offline
Junior Member

Registered: 02/27/18
Posts: 77
Loc: 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!

Top
#471508 - 03/07/18 01:37 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: tradingest]
Hredot Online
Member

Registered: 09/11/17
Posts: 229
I seem to find several different hits for these abbreviations. Could you post yahoo finance links to the exact assets?

Top
#471509 - 03/07/18 02:39 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: Hredot]
AndrewAMD Offline
Senior Member

Registered: 02/21/17
Posts: 329
Loc: Chicago
Those are stock indices. Either trade index futures or equivalent ETFs.

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


Edited by AndrewAMD (03/07/18 13:33)

Top
#471515 - 03/07/18 08:19 Re: Statistical arbitrage a.k.a. Pairs Trading [Re: Hredot]
tradingest Offline
Junior Member

Registered: 02/27/18
Posts: 77
Loc: 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


Edited by tradingest (03/07/18 08:20)

Top
Page 1 of 2 1 2 >



Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de