Let’t talk pair trading and arbitrage video playback

(Last Updated On: December 5, 2016)
Learn the Secret

Get  our 2 Free Books

Get these now which land directly to their inbox.
Invalid email address

Let’t talk pair trading and arbitrage video playback

Links from the groups discussion

http://www.financial-spread-betting.com/wp-content/uploads/2011/04/pairs-trading.gif

Standard deviation 2

 

 

we use a time-based exit

 

the spread is an Ornstein-Uhlenbeck process

 

so you can compute the first passage time

 

once that time has elapsed, you know the trade has broken down

 

yeah we exit when the spread goes near the mean

usually 0.5 standard deviations away

 

Roughly

 

yeah, we use GPUs to findd the parameters and pairs to trade

 

opencl

 

https://www.quantstart.com/articles/Backtesting-An-Intraday-Mean-Reversion-Pairs-Strategy-Between-SPY-And-IWM

 

http://www.surinotes.com/

 

the power of GPUs 🙂

we have tick data

 

it’s all historical patterns

 

we’re a pure quant fund – no fundamentals

 

well, we use 1M for testing

 

but we use bid and ask from tick

 

Do you use convolution methods to search for patterns?

 

yeah we use mid for entries

 

no we don’t, we literally just test every parameter combination

 

You can use stuff like shift invarient dictionary learning, basis search, any sort of multiscale wavelet will also give you a pattern dictionary.

 

post it on your blog if you remember 🙂

 

ATR EPS Market Cap

  • Trendline on the spread between closing to long/short
  • SMA

 

EXIT/Close-> Beta / SMA trendline TA/stats distribution/IV

you can use bollinger bands to do the same as what I’m doing

 

Sorry, Volume weighted price average for entry/exit

 

Jurik’s JMA is pretty good

https://www.quantstart.com/articles/Backtesting-An-Intraday-Mean-Reversion-Pairs-Strategy-Between-SPY-And-IWM

Join my FREE newsletter to learn more baout automatd trading like this

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
This entry was posted in Quant Analytics, Trading and tagged , , , on by .

About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs