Quantcast
Pairs trading tools/spread trading - Aussie Stock Forums

Results 1 to 5 of 5
  1. #1

    Default Pairs trading tools/spread trading

    Anybody experience on any of these tools for pairs trading
    ( My interest is Futures to Futures rather than stock to stock)
    I am aware there is along thread on Pairtradefinder but all this is about stock to stock which is capital intensive

    https://www.pairtradinglab.com/
    https://arb-maker.com/
    http://www.pairtradefinder.com/
    https://www.seasonalgo.com/

  2. #2
    Mr Kenneth A. Oathcarn KAO's Avatar
    Join Date
    May 2016
    Location
    Straya, Mate!
    Posts
    12

    Default Re: Pairs trading tools/spread trading

    Quote Originally Posted by mjim View Post
    Anybody experience on any of these tools for pairs trading
    ( My interest is Futures to Futures rather than stock to stock)
    I am aware there is along thread on Pairtradefinder but all this is about stock to stock which is capital intensive

    https://www.pairtradinglab.com/
    https://arb-maker.com/
    http://www.pairtradefinder.com/
    https://www.seasonalgo.com/
    Specifically what do you want to know about the tools you've posted? I have a little bit of experience with Arb Maker and Pair Trade Finder.

    PTF - Appears to be specifically built for stocks and can pull data from either Yahoo or IQ Feed. It's fairly basic and the documentation isn't great. In that regard, I could never get comfortable enough that the underlying maths (particularly with regards to cointegration and backtesting) were sound.

    Many guys in the ASX Stock Pairs Trade Journal thread have used it successfully over a period of some years. Recently they've complained that the support sucks and that would be a red flag for me.

    Arb Maker - Is significantly more advanced than PTF. It can pull data from Yahoo, Google, IQ Feed, MT4 and Bloomberg and integrates with Interactive Brokers for trade execution if you're feeling brave. The documentation is quite comprehensive and reads like the people who wrote it have a broad understanding of the statistical and mathematical concepts underpinning the type of pairs trading I'm interested in. The back-testing engine is reasonably configurable, but not without limitations.

    The MT4 integration would presumably give you a sufficient pool of commodity and index future CFDs to start playing around with...

  3. #3

    Default Re: Pairs trading tools/spread trading

    Quote Originally Posted by KAO View Post
    Specifically what do you want to know about the tools you've posted? I have a little bit of experience with Arb Maker and Pair Trade Finder.

    PTF - Appears to be specifically built for stocks and can pull data from either Yahoo or IQ Feed. It's fairly basic and the documentation isn't great. In that regard, I could never get comfortable enough that the underlying maths (particularly with regards to cointegration and backtesting) were sound.

    Many guys in the ASX Stock Pairs Trade Journal thread have used it successfully over a period of some years. Recently they've complained that the support sucks and that would be a red flag for me.

    Arb Maker - Is significantly more advanced than PTF. It can pull data from Yahoo, Google, IQ Feed, MT4 and Bloomberg and integrates with Interactive Brokers for trade execution if you're feeling brave. The documentation is quite comprehensive and reads like the people who wrote it have a broad understanding of the statistical and mathematical concepts underpinning the type of pairs trading I'm interested in. The back-testing engine is reasonably configurable, but not without limitations.

    The MT4 integration would presumably give you a sufficient pool of commodity and index future CFDs to start playing around with...
    - which one is better for Futures to Futures pairs?
    - any comprehensive but layman explanation / course on Stat arbs, Mean reverting spread pairs, Pairs trading and use of any of these tools
    - "integrates with Interactive Brokers for trade execution if you're feeling brave"
    Could you please explain?

  4. #4
    Mr Kenneth A. Oathcarn KAO's Avatar
    Join Date
    May 2016
    Location
    Straya, Mate!
    Posts
    12

    Default Re: Pairs trading tools/spread trading

    Quote Originally Posted by mjim View Post
    - which one is better for Futures to Futures pairs?
    I haven't tried pairing up futures in PTF, but it's definitely supported in ArbMaker. DYOR.

    Quote Originally Posted by mjim View Post
    - any comprehensive but layman explanation / course on Stat arbs, Mean reverting spread pairs, Pairs trading and use of any of these tools
    The ArbMaker documentation is very comprehensive and, in addition to describing the functionality of the tool, actually gives a lot of good technical background on pairs.

    The ASX Stock Pairs Journal here on ASF is a good read.

    Additionally, check out...

    Quantitative Trading: How to Build Your Own Algorithmic Trading Business

    Algorithmic Trading: Winning Strategies and Their Rationale

    The Handbook of Pairs Trading : Strategies Using Equities, Options, & Futures

    Pairs Trading: Quantitative Methods and Analysis

    ... All four books are floating around in PDF and you'll locate them in 3 seconds with the appropriate Google search. There's also a massive body of academic research, probably the most well known of which is..

    Pairs Trading: Performance of a Relative Value Arbitrage Rule

    Quote Originally Posted by mjim View Post
    - "integrates with Interactive Brokers for trade execution if you're feeling brave"
    Could you please explain?
    The software will connect to an Interactive Brokers account via a TWS bridge and can be configured to place automated, or semi automated, trades based on your strategy / criteria.

  5. #5

    Default Re: Pairs trading tools/spread trading

    Quote Originally Posted by KAO View Post
    I haven't tried pairing up futures in PTF, but it's definitely supported in ArbMaker. DYOR.



    The ArbMaker documentation is very comprehensive and, in addition to describing the functionality of the tool, actually gives a lot of good technical background on pairs.

    The ASX Stock Pairs Journal here on ASF is a good read.

    Additionally, check out...

    Quantitative Trading: How to Build Your Own Algorithmic Trading Business

    Algorithmic Trading: Winning Strategies and Their Rationale

    The Handbook of Pairs Trading : Strategies Using Equities, Options, & Futures

    Pairs Trading: Quantitative Methods and Analysis

    ... All four books are floating around in PDF and you'll locate them in 3 seconds with the appropriate Google search. There's also a massive body of academic research, probably the most well known of which is..

    Pairs Trading: Performance of a Relative Value Arbitrage Rule



    The software will connect to an Interactive Brokers account via a TWS bridge and can be configured to place automated, or semi automated, trades based on your strategy / criteria.
    Ken Oath it is. Ken good mullet too.



Similar Threads

  1. Replies: 3
    Last Post: 6th-July-2007, 03:12 PM
  2. Commsec & Etrade - Trading tools
    By motion in forum Brokers
    Replies: 7
    Last Post: 15th-April-2007, 05:48 PM
  3. The collar spread trade
    By Hopeful in forum Derivatives
    Replies: 14
    Last Post: 19th-December-2006, 05:52 PM
  4. Trading the spread with dual listed company warrants
    By rodg2061 in forum Derivatives
    Replies: 2
    Last Post: 24th-September-2006, 01:43 PM
  5. Trading Option Spreads - which broker is best?
    By bingk6 in forum Derivatives
    Replies: 11
    Last Post: 22nd-July-2006, 01:58 PM

Tags for this Thread

Bookmarks

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts
  •  
Aussie Stock Forums