Hello,
I am just playing around with the fawce's gld/gdx stat arb code.
OLS window reduced to 5 days ( if it has any meaning... )
I cannot understand how commissions are calculated.
have a nice day,
:-)
CVXvsXOM
@Alberto, thank you for sharing your results! Because the trade history is by the minute, your 5 day OLS will be based on 1950 trades per stock. I think the resulting OLS could be considered valid for a day of trading.
We currently assume a constant commission of $0.03 per traded share. You are invited to review the source code of our simulator if you are interested, and I wrote a bit about the design in another topic post.
How did you choose to try this pair?
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Hello Fawce,
CVX & XOM are quite strongly correlated.
I know, they are not cointegrated, but as you can see if you reduce the OLS window the algo seems to work until 2010.
By the way it needs better investigation, maybe I picked up a lucky pair :-)
Did you just happen to know they are correlated?
Also, if you don't mind my asking, have you/do you trade this pair already? Does the backtest make you want to trade it?
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Hello again fawce,
It is not just happen, they are direct competitors working in the same sector (to make it easy, but we can check the fondamentals to be sure).
Beside the final results, the backtest does not make me want to trade it at all.
:-) bye
Hi Alberto,
I would like to try other symbols with your code, is that possible? I tried to clone your algo, but had a few error messages. I have a list of good cointegrated pairs but have no where to backtest them. I will be posting results when they are good for trade. Regards, D
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.