Gamestudio Links
Zorro Links
Newest Posts
EntryDelay Clarification
by Ger1
Yesterday at 22:11
strf length-limitation
by Grant
Yesterday at 18:49
Deformers struct in MDL7 abspeichern.
by tagimbul
Yesterday at 17:41
Compiling Trading Strategies with C++
by pascalx
Yesterday at 12:18
global breakeven of a portfolio inside tmf function
by kmerlo
08/19/17 12:21
AUM Magazine
Latest Screens
AckCon'17: Lotter vs The World
Triton Wing
Computer Repair Simulator
Collider (working title)
Who's Online
11 registered (3dgamelight, Grant, alibaba, Iglarion, jrath, JoFo, jyd, tagimbul, mk_1, 1 invisible), 447 Guests and 4 Spiders online.
Key: Admin, Global Mod, Mod
Newest Members
mqo, Aimak, Grant, Marce, pascalx
17719 Registered Users
Topic Options
Rate This Topic
#434809 - 12/27/13 12:06 Statistical arbitrage a.k.a. Pairs Trading
AttilaZ Offline

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.


#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: 25661
Loc: Frankfurt
Yes, that sounds like a serious strategy that should be straightforward to implement.

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

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

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

Registered: 11/22/16
Posts: 38
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 .


Gamestudio download | chip programmers | Zorro platform | shop | resources | magazine | manual | support faq | bugs | beta features

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