Gamestudio Links
Zorro Links
Newest Posts
oldschool fps project
by 3run
56 minutes 42 seconds ago
[ALL STYLES] 2D Videogame Artist (pixel, vector, painted)
by DesixStudios
Today at 14:45
Easy question
by jcl
Today at 13:47
Cheap bouncing shells/gibs
by 3run
Today at 00:36
WED doesnt show all entity actions in the behavior list
by rayp
Yesterday at 22:31
Fullscreen Antialiasing plugin
by Iglarion
Yesterday at 22:29
Date field in dataset functions
by jcl
Yesterday at 10:55
AUM Magazine
Latest Screens
Triton Wing now available on Steam
AckCon'17: Lotter vs The World
Triton Wing
Who's Online
13 registered (Hredot, jumpman, 3run, Ch40zzC0d3r, Kartoffel, AndrewAMD, MasterQ32, kujo, FLD, 1 invisible), 462 Guests and 5 Spiders online.
Key: Admin, Global Mod, Mod
Newest Members
cme, pataba, byano, Tuguldur717, jmgrnt7
17833 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: 26002
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
Junior Member

Registered: 11/22/16
Posts: 52
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

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