Hi Mike, I will be interested in what your find. I tried to setup some pairs in Wealthlab and an old version of Tradestation to test across a portfolio, but I haven't been successful. I have PTF , but the thing with PTF is that I can go thru and find high correlation and high average trade and export to a spreadsheet then analayse the trades across a basket of pairs, but of course the report looks fantastic because I've stated off with the cream of the pairs. There are plenty of pairs with high correlation but negative average trade so they are the ones I'm interested in to see why they didn't work. I like PTF as it's simple, but now I have no choice but to paper trade for months as I can't really backtest a portfolio (coz I'm dumb when it comes to code ! ) regards Ivan
Johnny, does the Pairtradefinder require to watch the software the entire trading session, or will trades be taken at the close, or at another particular point of time? Thanks Saico
he usually watches near the close i believe and get in near the closing price. does anyone know how to find pairs with excel ? i mean yes i know i can get a certain amount of data for each symbol and then track the two symbol's correlations that way, but that requires me to get the data and import them each time, and that's only 1 pair.... do people actually do this over and over for ALL the symbols in their universe? there's got to be an easier way
Yes, there is a simpler way... read my previous post and see the different software i recommend to do the calcs... When you do calculations one by one in programming code or inside Excel its called gathering results in a Linear Process way... (one by one)... The other way is to do it all at once at the same time.. which is called gathering results in a Set Process Way (Set theory)... as in queries... you can do 1000's of pair correlations in a few minutes all at the same time... We do a this on 7000 Pairs... but you have to know or learn how to do this... which requires knowing or learning SQL Syntax language for querying databases... edge... HAVE STOP <img src="http://www.enflow.com/p.gif"> WILL TRADE
LOL... C++ would work, as in a very complex Linear approach, but... Mon Dieu (and i am not French... )... that would require knowledge of how to code in C++ plus code maintenance would be required over time too.. whereas.. as mentioned... Querying Pair Data using the query interface of a database engine... would be a simple and easy way to get the correlation values for 100 pairs or 10,000 pairs ... and it could be done in an Access database query engine which has a GUI interface... in a few minutes... C++ ... its degree of difficulty... 8 to 9 out of 10... Access Query ... its degree of difficulty... 3 out of 10... so... choose wisely... HAVE STOP <img src="http://www.enflow.com/p.gif"> WILL TRADE
as previously mentioned multiple times, excellent thread I've also recently purchased/started paper trading signals via pairtradefinder This seems to be an excellent resource. I am almost exclusively a day trader, but would like to implement this system. Does anyone out there trade options as pairs? I've been considering this as to limit the potential catastrophe in any overnight events. Could be an outright purchase of a put and a call or possible spreads. Seems like possibly a good way to limit risk to some extent, obviously adds a component of complexity. I would love to hear anyone's opinions/suggestions
Exited one trade for profits; Sold HP @ 21.75 Covered UNT @ 23.99 Entered new trade; Long RAIL @ 16.35 Short CP @ 28.78
Hi Johny, I have been reading this excelent thread, but couldn't find the answer for a question. You usually does not analyze the pairs correlation on different time frames? E.g the correlation for the rail-cp pair, seems to be on a downtrend, on recent months.