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#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 Online

Chief Engineer

Registered: 07/22/00
Posts: 25814
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: 40
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 .


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