One issue I ran up against was trying to figure out how to record the backtest data.
One method is to write the instruments to the same file, stamping all the instruments at the same time. This has issues, such as dealing with the case when one instrument's data is updating properly, but the other isnt. The other method is to do each instrument separately, but then you have the same issue as the other method, but just in a different form. - things to thing about. It would probably prove beneficial to add the bid/ask/price ticks as well, so that you can do more than 3 instruments. It's a good amount of work. On Thu, Nov 4, 2010 at 3:25 PM, Astor <[email protected]> wrote: > > I agree. While the ETF is liquid enough, the underlying stocks may not be. > However, the spreads sometimes get wide enough to accomodate the slippage. > > ------------------------------ > *From:* John-Crichton McCutcheon <[email protected]> > *To:* [email protected] > *Sent:* Thu, November 4, 2010 5:15:22 PM > *Subject:* Re: [JBookTrader] Re: Cross Indicators > > > > ETF or closed end fund price vs. prices of underlying stocks (I > personally know a guy who has made a fortune doing that) > > I've thought about exploring this one. But the thought of > slippage/frictional costs scares me a bit when dealing with individual > stocks. > > > > My interest is finding pairs of stocks with prices that closely track each > other (such stocks are called co-integrated). When the prices diverge from > each other, I take long and short positions. When the prices mean-revert to > long term average spread, I close both positions for profit. Since the > positions are always hedged, the strategy can make money regradless of > whatever else happens in the market. > > The math of identifying co-integrated stocks can be very simple, - just > count how many times the price spread flips sign in a fixed interval of > time. Or it can be more complicated, using specialized statistical tests, > such as ADF. > > Some of JBookTrader's functionality can be useful to determine the timing > of spread mean reversion. > ------------------------------ > *From:* new_trader <[email protected]> <[email protected]> > *To:* JBookTrader <[email protected]><[email protected]> > *Sent:* Thu, November 4, 2010 3:05:43 PM > *Subject:* [JBookTrader] Re: Cross Indicators > > @Astor: > where do you see arbitrage possibilities in JBT? Can you please > elaborate a bit more on this? > can you have some thoughts on the (mathematical) background of this? > > -- > 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 jbooktrader+ > [email protected]. > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > > -- > 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. > > > -- > 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]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > -- > 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]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > -- 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.
