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You run that not on single system but on WATCH List
consisting of two symbols, namely A and B.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "janhausd" <janhaus@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, January 30, 2009 8:33 PM
Subject: [amibroker] Re: PairTrading on Amibroker
> Hi Tomasz,
>
> Thank you for your insight, and I can see from your code how it will
> work. My question then for you is how this type of spread strategy
> will be back-tested? If I utilize the code you provided and
> optimize/run it on symbol A it will just give me all the entries and
> exits for symbol A, maximizing for results that will provide the
> greatest profit or whatever metric for symbol A, and vice versa for
> symbol B. However, the real optimal result of the spread trade is
> likely neither the optimal result for A nor that for B because markets
> are not wholly efficient. So in this case, how do you optimize for a
> pair trading strategy where the goal is to maximize the simultaneous
> entry of long A short B for entry and short A long B for exit? I think
> foreign() and some synthetic (composite) will still be required, no?
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>>
>> Hello,
>>
>> Marcin is solving strictly technical problems.
>> So he gave you technical answer, without actually
>> taking care if it is philosophically correct way to do things.
>>
>> Yes if you are using artificial price, they won't work without
>> turning bounds checking off, but that's not the preferred way to go.
>> Preferred way is not to create illusion (i.e. artificial prices)
>> but to reproduce actual trading.
>>
>> So, instead of creating artificial spread symbols,
>> you should just go long (for example) 500 shares of symbol A
>> and short 40 shares of symbol B.
>>
>> And it is very easy to do and was explained on this list MANY times.
>>
>> YourSystemEntrySignal = ....
>> YourSystemExitSignal = ....
>>
>> if( Name() == "SymbolA" )
>> {
>> Buy = YourSystemEntrySignal;
>> Sell = YourSystemExitSignal;
>>
>> SetPositionSize( 500, spsShares );
>> }
>>
>> if( Name() == "SymbolB" )
>> {
>> Short = YourSystemEntrySignal;
>> Cover = YourSystemExitSignal;
>>
>> SetPositionSize( 40, spsShares );
>> }
>>
>> Note that you are entering LONG trade on A and SHORT trade on B
> using same signal.
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "janhausd" <janhaus@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Friday, January 30, 2009 7:18 PM
>> Subject: [amibroker] Re: PairTrading on Amibroker
>>
>>
>> > Hi Tomasz,
>> >
>> > I had sent several emails to Ami support, and this advice was included
>> > on one of the responses. Regarding the pairs trading, perhaps I should
>> > explain what I am doing a bit better, it's a spread trade, which
>> > involves normalizing two instruments based on some formula. What I
>> > actually am doing is creating a formula, for example, 5 * SymbolA -
>> > 0.4 * SymbolB = spread price. Buy @ this spread price (buy A, sell B)
>> > when condition Z is met, sell (sell A, buy B) when condition Y is met.
>> > I had thought most ppl trade pairs this way, but perhaps this isn't
>> > the case.
>> >
>> > Like Angelo, I couldn't figure out a good way to represent the
>> > entering one symbol and exiting the other in backtesting, so I used
>> > foreign() to create the synthetic, and based the buy/sells and
>> > buy/sell prices on the synthetic. When I backtest, I found that both
>> > of these options are necessary for me otherwise 1. the synthetic price
>> > I generate won't work since it may be beyond the bounds of the HL
>> > range, and when I get in at some synthetic price, i.e. 300, and if
>> > ruinstop isn't disabled, I get stopped out at price 0 or something
>> > very small like that, perhaps due to data holes.
>> >
>> > I had sent an email to support asking for the best way to go about
>> > backtesting such a spread strategy, but did not receive any response.
>> > If you have any better suggestions, I've eager to hear them!
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
>> >>
>> >> Hello,
>> >>
>> >> It's very important to include
>> >> > SetOption("priceBoundChecking",False);
>> >> > SetOption("DisableRuinStop",True);
>> >>
>> >> WRONG!
>> >>
>> >> This should never be used for pairs trading.
>> >> If you need that it means that you code is wrong
>> >> (you are attempting to set prices outside H-L range which
>> >> is huge mistake).
>> >>
>> >> Pairs trading should always respect normal prices
>> >> and you should use Foreign only for calculations
>> >> and NEVER for setting actual trade price entry.
>> >>
>> >>
>> >> Best regards,
>> >> Tomasz Janeczko
>> >> amibroker.com
>> >> ----- Original Message -----
>> >> From: "janhausd" <janhaus@>
>> >> To: <amibroker@xxxxxxxxxxxxxxx>
>> >> Sent: Friday, January 30, 2009 5:11 PM
>> >> Subject: [amibroker] Re: PairTrading on Amibroker
>> >>
>> >>
>> >> > I'm looking for the same thing, Angelo, I wish there was more
> inbuilt
>> >> > support in Ami for pair trading/testing :) The way I'm dealing
> with
>> >> > it for now is to utilize foreign() calls, which can be agonizingly
>> >> > slow for large amounts of data, and test the strategy based on the
>> >> > synthetic/pair, where you enter/exit based on the synthetic
> price and
>> >> > all statistics based on that. Also, It's very important to include
>> >> > SetOption("priceBoundChecking",False);
>> >> > SetOption("DisableRuinStop",True);
>> >> >
>> >> > Without disableruinstop, it seems anytime when there's enough
> data to
>> >> > enter/exit one leg but no data at the same time for the other
> security
>> >> > you hedge with, the backtester will kick you out of the
> position with
>> >> > some ridiculous price, and your results will be entirely incorrect.
>> >> > Without priceboundchecking, you may not be able to generate the
>> >> > synthetic pair value if the pricing is off. It took several
> emails to
>> >> > Ami support and browsing for posts here for me to figure out
> these two
>> >> > options were necessary for backtesting my setup, wish I'd known
>> >> > earlier :) If you or anybody else has any better ideas, I'm all
> up for
>> >> > it...
>> >> >
>> >> > --- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@> wrote:
>> >> >>
>> >> >> --- In amibroker@xxxxxxxxxxxxxxx, "janhausd" <janhaus@> wrote:
>> >> >> >
>> >> >> > Hi Angelo,
>> >> >> >
>> >> >> > I have in fact just recently contacted Herman regarding this
>> > subject,
>> >> >> > since running that code on my data resulted in mismatching
>> >> >> > correlations, where Correl(A,B) was not equal to Correl(B,A)
> due to
>> >> >> > the Foreign() function and data holes between A and B. The
>> > result is
>> >> >> > actually somewhat similar to the the picture herman posted
> in that
>> >> >> > link, where you see that the correlation between AAPL,ALTR is
>> > -0.624,
>> >> >> > whereas ALTR,AAPL is 0.421, except when I ran the code, all
> of the
>> >> >> > pairs mismatched and not just the ones on the outer edge of the
>> >> >> > correlation square. Anyway, if you have data without mismatching
>> >> >> > times, this shouldn't be a problem :)
>> >> >> >
>> >> >>
>> >> >>
>> >> >> Thanks jan,
>> >> >>
>> >> >> this problem is clear to me now.
>> >> >>
>> >> >> I'm on my way to build a pair system on amibroker, using as a
>> > template
>> >> >> the code posted by TJ on this list some time ago.
>> >> >>
>> >> >> My code is pretty simple and open a position for symbol1, and -
>> > at the
>> >> >> same time - an opposite position for symbol2.
>> >> >>
>> >> >> Of course ,in the report this trade is counted as "two" and this
>> > makes
>> >> >> unuseful of all the statistics based on the total nauber of trades
>> >> >> (e.g. percent winners... profit per trade... ).
>> >> >>
>> >> >> As anyone thought of a way of telling Amibroker that - in this
>> >> >> particular case - the 2 trades representing both leg of the pair
>> >> >> should be counted as one?
>> >> >>
>> >> >
>> >> >
>> >> >
>> >> > ------------------------------------
>> >> >
>> >> > **** IMPORTANT ****
>> >> > This group is for the discussion between users only.
>> >> > This is *NOT* technical support channel.
>> >> >
>> >> > *********************
>> >> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
>> > directly to
>> >> > SUPPORT {at} amibroker.com
>> >> > *********************
>> >> >
>> >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> >> > http://www.amibroker.com/devlog/
>> >> >
>> >> > For other support material please check also:
>> >> > http://www.amibroker.com/support.html
>> >> >
>> >> > *********************************
>> >> > Yahoo! Groups Links
>> >> >
>> >> >
>> >> >
>> >>
>> >
>> >
>> >
>> > ------------------------------------
>> >
>> > **** IMPORTANT ****
>> > This group is for the discussion between users only.
>> > This is *NOT* technical support channel.
>> >
>> > *********************
>> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
> directly to
>> > SUPPORT {at} amibroker.com
>> > *********************
>> >
>> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> > http://www.amibroker.com/devlog/
>> >
>> > For other support material please check also:
>> > http://www.amibroker.com/support.html
>> >
>> > *********************************
>> > Yahoo! Groups Links
>> >
>> >
>> >
>>
>
>
>
> ------------------------------------
>
> **** IMPORTANT ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> *********************
> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
> *********************
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> *********************************
> Yahoo! Groups Links
>
>
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
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