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
http://www.surinotes.com/
the power of GPUs š
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 š
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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