Results 1 to 1 of 1
03-01-2014, 11:31 PM #1
Any Algo or pairs traders?
Thought I would start the discussion.
I've been messing around with Algo trading for the past two and a half years. It's been quite a bit of fun, finding new libraries, always finds ways to get better data, building complex strategies, testing/back testing and all the frustration, you gotta love the frustration! The past two months I've been testing a system that scrapes data daily and exports my highlighted data in CSV to an excel document. Using an algorithm I have plugged into spreadsheet; I score the companies to find two different values.
JPM - 104.29
WF - 92.3
GOOG - (-9.12)
FB - (-142.64)
I would then trade an equal amount of very high and very low scores. For a few weeks I had decent returns, and the back testing was solid, but I felt it could be much more solid. I extended my hold timeline to 2 weeks, and incorporated a zero sum system to score a group of 56 companies. The group of 56 companies allowed me to make better use of non-polar hedging, and I was able to extend my algorithm adjust for the advantage. Now it looks more like...
JPM - 14.4
WF - 10.2
GOOG - (-4.6)
FB - (-10.0)
When I have a company with a negative number I want to long, and positive is short. The above group of companies is a perfect combo because the addition of all of the scores is equal to zero. That whole idea of the system post scoring is to try to make the pairs equal up to zero or as close as possible. I then input the numbers into one last algorithm to get a reading of how mean shares I should long/short over the two week period. Since changing I've had more steady, and high returns. For the past month plus of testing it I've been able to hit around %3.75 gain every 2 weeks. I've also been doing a lot of shorting in a growing market, and it's still has worked which has been impressive.
Currently, I'm working on the system once again to make it more efficient. I'm going to incorporate more companies, and change the scoring to add an industry index point of view.
So what are you guys working on? How do you like this? Any tips? What are some good ideas to go on from here? If you do any of this type of trading don't be shy! Or if you want to know more I would be happy to answer any question in this area!