Hey Mav, ET admin are being idiots and blocking my P.M. since I'm not a regular poster. I would like more details on the meeting happening this coming Monday. Plan on definitely being in Chicago. FFL
Yea I do, I found it on the TS forums. I haven't messed with it as it appears to work as is. That can't be said for alot of the stuff you find on that forum. TS is not very functional for pairs. There is a vendor named bampairtrading that seems like they have a functional solution. It costs 500-1000 dollars so I havent checked it out. Thats more for backtesting and customizable stuff! You could manipulate this code and get it to do other things...probably not any more complicated then MA'S or other stuff.
No! I came across that and actually found a system that was written in a book that was very similar. I tweaked some things and backtested many pairs intraday. Testing for intraday reversion and divergence, tell you what it looked as if some of the divergence plays may work intraday, but I didn't find it profitable. It's just the way the code is constructed it doesn't represent anything really meaningful for the spread if you are trading convergence or divergence! http://www.bampairtrading.com/ Thats the webstie
John, do you have something your working on with pairs and the like? Maybe some type of ACD/number-line auto pair trader! lol It would be a cool idea hmmmmm. Find those stocks/products that are showing the most strength/weakness relative to their number lines and Cycle values. Create dollar neutral baskets with lets say a AAPL,IBM against a BIDU,SINA. Type in those symbols into a program and let it go, An effecient and risk-adjusted way of catching some nice cycle moves!
Nice. I'm really drawn to the synthetic asset pairs or basket pairs, because you can customize it how you want and use some outside of the box thinking to form them! You can create the ultimate asset. I want to put together the TLT, AUD, Quon's BMY and spread it against Some oil and Chinese tech names...LOL!
Prob more likely to use stocks against stocks as that would actually make sense. How about AAPL, IBM, BMY against an oil name, bidu , and sina