• Australian (ASX) Stock Market Forum

Pairs trading tools/spread trading

Discussion in 'Derivatives' started by mjim, Sep 14, 2016.

  1. mjim

    mjim

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  2. KAO

    KAO Mr Kenneth A. Oathcarn

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    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. mjim

    mjim

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    - 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. KAO

    KAO Mr Kenneth A. Oathcarn

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    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.
     
  5. Gringotts Bank

    Gringotts Bank

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    Ken Oath it is. Ken good mullet too.
     
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