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MC - Pair Trading Backtesting
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MC - Pair Trading Backtesting

  #1 (permalink)
Elite Member
annapolis USA
 
Futures Experience: Intermediate
Platform: Ninja, MC, Sierra, Amibroker
Broker/Data: PFG (too bad), IB, Fidelity, AMP
Favorite Futures: ES, NQ, Equities, Forex, Etc.
 
greenroomhoo's Avatar
 
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MC - Pair Trading Backtesting

Anyone done any Pair Trading Strategy backtesting with easy language and Multicharts? I am new to the platform but not to easy language and have an idea i want to do some testing on. I have done some poking around in various internet locations but not turned up much.

Anyone have any code/experience/places for me to start? Just going to write a basic pair strategy for the basket of S&P stocks vs the SPY (one trade is one S&P stock and the SPY).

I know I cant do it from a single chart...but that is all i know.

thanks

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  #2 (permalink)
 Vendor: www.multicharts.com 
Columbus, Ohio, US
 
Futures Experience: Intermediate
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I know of a third party product that claims to have designed pair-trading signals for MC and TS. This is not an endorsement, I have not used this product, I just know it exists. Feel free to check it out and share your feedback. Pair Trading Strategy for Tradestation and/or MultiCharts

MultiCharts - Raising the Trading Standard.
Please send me a private message if you have any further questions about MultiCharts
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  #3 (permalink)
Elite Member
seoul, Korea
 
Futures Experience: Intermediate
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Anyone know if there has been any changes or upgraded capabilities of MC to do pairs trading?

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  #4 (permalink)
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near Paris, France
 
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Hi,

Pairs trading backtesting seems possible, at least with tricks as: https://futures.io/multicharts/18648-multiple-instruments.html

Pairs trading trading (= pass orders) could also be possible, at least by using two charts (one with the first instrument, the other with the second instrument), and applying the same signal to them (just swap the role of data1 and data2).

These are the 2 ideas which come to my mind. Perhaps there are better solutions. I have not used MC for a while.

Nicolas

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  #5 (permalink)
Elite Member
san diego
 
Futures Experience: Intermediate
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An even bigger problem with pairs trading is finding a vendor that gives you the correct pairs price by subtracting the prices of the stocks on a tick by tick bases. For example, thinkorswim just forms an estimate based on the individual stock bars' close and open, which gives inaccurate numbers for the high and low of the pair's bar. I stopped pairs trading because I don't want to risk my money on false data. I think backtesting wouldn't be dependable without first having an accurate price history.


Last edited by jodistrict; July 14th, 2014 at 05:15 PM.
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  #6 (permalink)
Market Wizard
Hamburg Germany
 
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You can do Pairs Trading easier now with the Portfolio Trader. It's still in Beta, but might be worth a look.

Regards,
ABCTG

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  #7 (permalink)
Elite Member
seoul, Korea
 
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ABCTG View Post
You can do Pairs Trading easier now with the Portfolio Trader. It's still in Beta, but might be worth a look.

Regards,
ABCTG

Thanks for that heads up. It looks like it might have some of the tools I am looking for. I will check it out.

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