> I was first interested in pairs trading - so I wrote some code to do that, > but due to my lack of java experience it performed terribly. I may try > again at some point. (BTW, eugene took a stab at something similiar for > arbitrage purposes, but didn't find any suitable trades once he started > testing it). >
I've never released JArbitrager, but different people keep asking about it. I'm going to give a presentation about it to the local traders group this month in Raleigh, NC. Anyway, here it is: http://code.google.com/p/jarbitrager/downloads/detail?name=JArbitrager-Alpha.zip The folks familiar with JBT will recognize the structure of JArbitrager. Some things needed to be changed to accommodate the spirit of pair trading, but otherwise, it's very similar to JBT. As Shaggs mentioned, I gave up on it pretty quickly, as it became evident to me from forward testing that there is nothing to squeeze out of pairs such as SPY-ES, DIA-YM, and ES-YM. But it's possible that I have missed something, or perhaps the arbitrage should be tried on less liquid pairs. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
