Hello, Focused on composite multi level market maker now. What is multi level market maker? This is buy/sell levels. Review the screen below. What I can do? I can generate thousand composite like on screen below and help start multi level market maker as part of your trading system. Notice this composite calculated on prev. quotes and this is [Out Of Sample]! Composite have 21 symbols (I have limit 25 symbols). Calculated it via simple math. methods. Contact me via SKYPE: ELabunsky or DM. Regards, Eugene.
Another sample: simple 5 symbols composite [Out Of Sample] test (composite calculated on quotes before 23 may 2005): PS. As you can see it's more volatility and potentially more profitable. It's need research optimal symbol amount in each composite, composite K etc... PPS. It's possible say that stable of composite is good if it do not have correlated symbols. PG & JNJ correlated a lot and as result not stable composite. Review this sample:
Made small research and found best composites for PAIR trading from DJ30 for last year (stock1 vs stock2) axp = -0.500750275711075 : trv = 0.499249724288925 ba = -0.497289522253169 : cvx = 0.502710477746831 ba = -0.502262175228374 : mmm = 0.497737824771626 cat = -0.499964667226912 : jnj = 0.500035332773088 cat = -0.500606915557742 : mcd = 0.499393084442258 cat = -0.500201783716556 : xom = 0.499798216283444 dis = -0.50146518267435 : hd = 0.49853481732565 dis = -0.502135525453889 : pg = 0.497864474546111 dis = -0.499258341029921 : unh = 0.500741658970079 dis = -0.499187540201521 : wmt = 0.50081245979848 ge = -0.501789736732308 : intc = 0.498210263267692 hd = -0.50067020113779 : pg = 0.49932979886221 hd = -0.497793246265722 : unh = 0.502206753734278 hd = -0.497722550180789 : wmt = 0.502277449819211 hpq = -0.501410735644647 : pfe = 0.498589264355353 jnj = -0.500642205213952 : mcd = 0.499357794786048 jnj = -0.500237107198388 : xom = 0.499762892801612 jpm = -0.497000586606751 : mrk = 0.502999413393249 ko = -0.498280867562807 : msft = 0.501719132437192 mcd = -0.499594905599667 : xom = 0.500405094400333 pg = -0.497122976537625 : unh = 0.502877023462375 pg = -0.497052436640922 : wmt = 0.502947563359078 unh = -0.499929286553771 : wmt = 0.500070713446229 Best pair: cat vs jnj
Small pair trading sample for DJ30. This is simple system based on deviation entry > 2 and exit when pair price composite cross moving average. Optimal pars found via analyze of the minimal deviation of pairs. Review [Out Of Sample]. Top part is bar by bar equity. Bottom is used capital. Used slippage is 0.02 per lot without any another fees.
Composite from: ticker % in composite unh 0.0175573498853845 trv -0.0792297374822473 t -0.0421676982227589 pg 0.0920792311034956 pfe -0.0762111549565695 mrk 0.0542139936946301 mmm -0.0818691386400567 mcd -0.11074158295555 ko 0.0994558638404998 jpm -0.0364933743704791 jnj 0.0485556371205716 intc -0.0649874641363384 ibm 0.0830974591853387 hpq 0.0379326069351701 hd 0.0754077074709099 Backtest with the 0.035 slipage per lot. Capital usage $100 000