Forums  > General  > Help me make a tool for pair trading  
Page 1 of 1
Display using:  


Total Posts: 72
Joined: Jul 2007
Posted: 2018-11-12 09:18

I am working on a tool for supporting (non-automated) pair trading:

And I am looking for some early feedback. What do you guys think?

It runs in a (modern) web browser and does not require signup.

-- Christian


Total Posts: 236
Joined: Dec 2010
Posted: 2018-11-12 15:14
Not much at all to be honest. Is that a student project? Looks completely useless to me on several grounds.


Total Posts: 38
Joined: Feb 2018
Posted: 2018-11-12 21:13
So far it is:

+ Simple and thus easy to use
+ Fast

If you want to add more stuff, here are some ideas for starters (difficulty in increasing order):

- Add ability to determine fitting period and out of sample period
- Add ability to run, for example, Dickey-Fuller test for the "pair residual"
- Add ability to fit OU to the residual
- Add support for more than 2 assets, i.e., for baskets of stuff
- Add support for some clustering method to find a set of names that would narrow the universe of all combinations
- Add support to do eigendecomposition to correlation matrix of the names, run multivariate regression against the resulting projected data and then measure residual implied by the PCs


Total Posts: 703
Joined: Jun 2005
Posted: 2018-11-13 10:07
- instead of guessing pair in the search it would be nice to see which indices are used
- graph network of stocks clusters (in pairs) is always nice


Total Posts: 2
Joined: Dec 2018
Posted: 2018-12-19 10:47
Thank you for sharing such a good and useful information here in the blog for everywhere.
Previous Thread :: Next Thread 
Page 1 of 1