stats arb on NT - NinjaTrader | futures io social day trading
futures io futures trading


stats arb on NT
Updated: Views / Replies:3,428 / 22
Created: by wldman Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

stats arb on NT

  #11 (permalink)
Elite Member
Chicago Illinois USA
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: IB
Favorite Futures: duh hammer!
 
wldman's Avatar
 
Posts: 2,066 since Aug 2011
Thanks: 967 given, 2,617 received

Agreed..

much easier on a correlated pair...its been years but the site we used to find individual equities was impactopia dot com. I wonder if that is still available. It might make for a good illustration to find a more typical iteration. Fannie/Freddie was one I traded. The banking industry, the home builders and the oils service providers where the meat back in the day....lol bet GS/LEH doesn't trade anymore.

Reply With Quote
 
  #12 (permalink)
Elite Member
Tampa, FL
 
Futures Experience: Beginner
Platform: NinjaTrader, Sierra Chart
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: 6E, M6E, 6J
 
Xav1029's Avatar
 
Posts: 1,374 since Dec 2011
Thanks: 1,452 given, 3,354 received

I have most of the code we would need to plot a candelstick chart of the ratio written in other indicators. Give me a day or two and I can put something together. The question would be what ratio to plot?

London Calling
Reply With Quote
The following 2 users say Thank You to Xav1029 for this post:
 
  #13 (permalink)
Elite Member
Northern Germany
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,807 received



wldman View Post
So I wonder what a ratioed symbol plotted on a single chart would look like. Could you trade that a la reversion to the mean?


I guess we just have to try and see how it looks like and what type of channel seems best suited. No point in guessing into the blue, let's better chart it and then make a first visual assessment.

If anyone knows an indicator that charts the delta of two instruments, shout, a link might come in really handy now...

vvhg

Hic Rhodos, hic salta.
Reply With Quote
The following user says Thank You to vvhg for this post:
 
  #14 (permalink)
Elite Member
Northern Germany
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,807 received


Xav1029 View Post
I have most of the code we would need to plot a candelstick chart of the ratio written in other indicators. Give me a day or two and I can put something together. The question would be what ratio to plot?

Did you have a look at the dataseries synchronization? Just drop me a PM if you want me to give you a hand with some coding...

vvhg

Hic Rhodos, hic salta.
Reply With Quote
The following 2 users say Thank You to vvhg for this post:
 
  #15 (permalink)
Elite Member
Chicago Illinois USA
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: IB
Favorite Futures: duh hammer!
 
wldman's Avatar
 
Posts: 2,066 since Aug 2011
Thanks: 967 given, 2,617 received

Yes, I think..

the delta between two symbols would be a good place to start. I'm thinking about if the delta needs to be ratioed at this point..or ever. The idea is to keep the long and the short dollar neutral. Is dollar neutral important?

One thing we might look at, or defer to, is the respective typical daily ranges of the products. In a highly correlated situation you do theoretically have greatly reduced risk. To me that means I'd be more comfortable in the longer time frames. As crazy as it sounds hourly...or longer...lol

So using this delta concept, narrow, buy one sell the other, wide, sell one buy the other. I guess looking at the individual charts you could easy enough do the same thing....so is this consolidation a step toward simplifying or making the simple complicated.

For me, I think I'd like the view alongside what I already do.

On another platform you could do the calc in the symbol field.... this minus the quantity this times this. I don't know if it is that easy or even necessary.

I think the real trick would be to create a basket risk on/risk off trade that you could fire with a low freq algo. I mean if you where using 60 min or 240 min charts you might trade a couple three times a week..AND if you have that theoretical hedge are you in a no worries situation?

What do you guys think?

Reply With Quote
 
  #16 (permalink)
Elite Member
Chicago Illinois USA
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: IB
Favorite Futures: duh hammer!
 
wldman's Avatar
 
Posts: 2,066 since Aug 2011
Thanks: 967 given, 2,617 received

Hi..

@artemiso

I know you can bring great insight here. Please jump in. This is a no hassle zone. DB

Reply With Quote
 
  #17 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
Posts: 902 since Jul 2012
Thanks: 603 given, 1,785 received

Hey lol sorry I was thinking of what to chip in but had to make a few phone calls all of a sudden and forgot to come back here. @Rikers11 may be a better person to go to for FX from what I see. My group does a lot of stat arb but not of this variety. Before he chips in though, I am guessing that both of us share some skepticism about this strategy, because the spreads in spot FX and futures have been flattened (they had computers to trade this as early as the 1980s). See under "Explain some abandoned / public trading algorithm and how it works": "I was a quant hedge fund trader for 11 years. Ask me anything."

1. You are right to look at longer time scales for your signal. Just running a quick check, the standard deviation of the daily returns on the EURUSD is about $0.0350, so that approximates to $0.00350/sqrt(60/3*24) = $0.0016 on the 3 minute time scale that you were looking at. (By the way, it's more accurate to do this calculation by taking the standard deviation of minute returns and scaling it.) If you aim for 1 standard deviation, achieve a win rate of 60%, then the expected unleveraged return is $0.00096 per lot. What are your commissions, leverage and the quality of fills from your ECN? After transaction costs, the strategy may just incur consistent losses. Pick a time scale where the spreads are wide enough.

2. The hedge is of course not a safeguard, and you always have to be on a lookout for policy and settlement reasons that a spread will suddenly not mean-revert. One example I've heard of this year is AAPL-SBUX, which would have made awesome hedges for one another for the whole year up till August, but blew up spectacularly. The spread makes no sense, but probably many mutual and hedge funds were switching between technology and consumer non-cyclicals using Apple and Starbucks as proxies until the end of summer. Another classic example is the CHF, where many stat arb models in FX died when they pegged the CHF.

Reply With Quote
The following 3 users say Thank You to artemiso for this post:
 
  #18 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
Posts: 902 since Jul 2012
Thanks: 603 given, 1,785 received


wldman View Post
much easier on a correlated pair...its been years but the site we used to find individual equities was impactopia dot com. I wonder if that is still available. It might make for a good illustration to find a more typical iteration. Fannie/Freddie was one I traded. The banking industry, the home builders and the oils service providers where the meat back in the day....lol bet GS/LEH doesn't trade anymore.

Also, I think there's one here: http://www.market-topology.com

Reply With Quote
The following user says Thank You to artemiso for this post:
 
  #19 (permalink)
Elite Member
Bay Area California
 
Futures Experience: None
Platform: TT T4
Favorite Futures: Futures
 
Posts: 719 since Nov 2011
Thanks: 633 given, 740 received


wldman View Post
So I wonder what a ratioed symbol plotted on a single chart would look like. Could you trade that a la reversion to the mean?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

6E-6C(1.2) 3 minute chart, log scale.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).




Also, what you're talking about seems to be more of pairs trade than statistical arbitrage, as you are essentially just building a synthetic eur/cad pair. You might look to find arbitrage opportunities between a synthetic product less the cost to carry, and the spot product. But that doesn't mean these pairs of pairs don't offer interesting directional trading opportunities, you may find limiting your exposure to the dollar may increase the "trendiness", making it slightly easier to predict.

"If I agreed with you, we'd both be wrong."

Last edited by addchild; November 14th, 2012 at 01:14 AM.
Reply With Quote
 
  #20 (permalink)
Elite Member
Zagreb Croatia
 
Futures Experience: None
Platform: EBS
Favorite Futures: e6
 
Rikers11's Avatar
 
Posts: 29 since Aug 2012
Thanks: 12 given, 16 received


Sry, I'm not sure what's the goal. If you're doing pairs trading the best place to look isn't FX. As mentioned you'll be just trading a synthetic, if you want to get of the dollar just trade the non dollar cross. Triangular arb is not possible, market makers upload their quotes automatically for all crosses and the leftover is arb instantly (someone leaving an order sitting without watching the majors for example). Also FX is highly news driven without the scheduled news (yesterday was a good example) so if you are doing any kind of short term arb you get blown of if you can't shut down properly (as to say the "tails are fat"). You might think that yesterday was a great example of RTM but it's only because on the aftermath the news was denied by the Germans....

for software you can experiment with ArbMaker. (I have no affiliation and don't use the software).


Last edited by Rikers11; November 14th, 2012 at 03:09 AM.
Reply With Quote
The following 2 users say Thank You to Rikers11 for this post:

Reply



futures io > > > > stats arb on NT

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
STATS - Friday before a three days weekend trendisyourfriend Emini Index Futures Trading 4 March 7th, 2011 10:45 AM
FOMC day trading stats Snoop Traders Hideout 1 November 3rd, 2010 11:40 AM
JT real stats 2j7 indicator v301 Michael.H The Elite Circle 5 October 17th, 2010 09:25 PM
Quick thread stats added Big Mike Feedback and Announcements 0 January 1st, 2010 05:56 AM


All times are GMT -4. The time now is 11:30 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.15 seconds with 20 queries on phoenix via your IP 54.82.81.154