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

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