Search
× Search
Friday, April 12, 2024

Archived Discussions

Recent member discussions

The Algorithmic Traders' Association prides itself on providing a forum for the publication and dissemination of its members' white papers, research, reflections, works in progress, and other contributions. Please Note that archive searches and some of our members' publications are reserved for members only, so please log in or sign up to gain the most from our members' contributions.

Trading system for Index Arbitrage

photo

 Rosario Pisana, Asset Manager

 Tuesday, January 16, 2018

Good day everybody. I've just approached with my team the idea of developing a trading system based on stat arb, to be applied on stocks and currencies mainly. I was wondering if someone in this group has already started coding a program for such strategy (and similar) or has already coded it, but would like to develop it more. If somebody can be interested in sharing the lines of code that owns at the moment, my intention with my partners would be to cooperate potentially in the future for further development of the system. Please let me know, also on PM. Cheers and wish all of you a great day ahead.


Print

12 comments on article "Trading system for Index Arbitrage"

photo

 Manuel Ochoa, Manager at Global Trend Capital Corporation( see breakdown below)

 Thursday, January 18, 2018



Arbing FX.... admire your enthusiasm.


photo

 Jim Hunt, Owner, V2G Limited

 Friday, January 19, 2018



Nice one Manuel!


photo

 Gaurav Mahajan, Manager, Artificial Intelligence; Looking for collaboration to develop custom Options Trading Strategies.

 Friday, January 19, 2018



I have send you a connect request; following which I will share the requested pairs-trade implementation.


photo

 Marko Rantala, Indicator & Strategy Developer. Algorithmic trader. Founder & CXX seeking new partnerships ► pvoodoo.com

 Saturday, January 20, 2018



Rosario & Gaurav, I have a strategy (and indicator) written to pairs: http://pvoodoo.blogspot.com/2013/07/pvpairtradenormalizedi-indicator.html?view=flipcard which use to work for gold/silver nice some time ago (not checked for long time).


photo

 Mohammad Zafar, MD

 Saturday, January 20, 2018



WE DEVELOPED AND RUNNING SUCCESS


photo

 Richard Goers, Senior Risk Adviser KVB Kunlun Group

 Saturday, January 20, 2018



https://www.quantopian.com/posts/search?q=statistical arbitrage

stat arb codes in python - quantopian site


photo

 Oleksandr Medviediev, Algo trading

 Sunday, January 21, 2018



StatArbs can be genuinely profitable. Lots depends on your expectations and $$ targets.

Agree with Marko Rantala - it's been awhile, MQL5 crowd finished with StatArbs in early MT4 days (some are still chasing ideal pairs and triplets))


photo

 Adam Cox, SFFIN, MFTA, Head of Wealth Products and Management at KVB Kun Lun

 Sunday, January 21, 2018



Lets give away the IP 😆😆😆😂😆


photo

 Bhavika Sheth, Customer-focus Finance professional ★ Customer Acquisition & Retention Expert

 Monday, January 22, 2018



Parindu Patel, CMT,CFTe, MSTA


photo

 Jonathan Kinlay, Quantitative Research and Trading | Hedge Fund Partner & Leading Expert in Quantitative Algorithmic Trading Strategies

 Wednesday, January 24, 2018



See http://jonathankinlay.com/2015/02/etf-pairs-trading-kalman-filter/


photo

 Alessandro Muci, Cross-asset trading strategies

 Friday, January 26, 2018



Stat Arb was a great strategy in the 90's. Profitability has been going down over the years - too crowded space now (at least in equities). To get high Sharpe ratios (>2) you need to be able to churn shares much more quickly (e.g. daily in and out of >200 shares) which means very low trading costs per shares (< 0.002) that are available only to very few.

I remember a strategy in Quantopian achieving a Sharpe of around 4, but only assuming very low trading costs (with more standard trading costs you get Sharpe ratios around 1 - which is good, but not great since more low-hanging-fruits are lying around).

Just my two cents.


photo

 Jacob Ayres-Thomson, Data 50 Winner & Best in Class "Financial Services" | AI Designer | Data Scientist | Investor | Trader

 Saturday, January 27, 2018



Have developed what you are looking for and more. Key to stat arb now is using it for market making ie zero trading cost entry and spike capture. The point above re declining alpha is correct in all data I've seen

Please login or register to post comments.

TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
Terms Of UsePrivacy StatementCopyright 2018 Algorithmic Traders Association