ArbMaker

Pairs trading portfolio features

Multiple, user-defined portfolios – class by sector, strength of cointegration, historic profitability etc - plus dynamic filtering to prevent deteriorating pair relationships ever entering trade

Pairs trading statistical features

Handles time differences across time-zones during intra-day scans and matches like-for-like ticks (for example, permitting UK vs Europe, Australia vs Tokyo etc)

Direct connection to Interactive Brokers

Connect ArbMaker to an Interactive Brokers account for semi or fully automatic equity trading

Pairs trading back tester features

End-of-day back tests output equity curves and a complete set of summary statistics including Sharpe, Treynor, Stutzer Index, Omega, Sortino, Jensen’s Alpha, skew, kurtosis etc

Pairs trading scanner & analysis features

Optimize and 'tune' the spreads of volatile pairs with modified Kalman filters and Double Exponential Smoothing Prediction time-adaptive beta methods

ArbMaker: THE tool-set for relative value pairs traders

A comparison table of our software is below. Go to the 'Take the Trial' page to take a test drive. Pricing is here and the latest documentation is here.

NB: Futures integration due Q1 2013!

Features by version:

Note that all versions of ArbMaker validate cointegration results by automatically establishing the correct symbol order, providing the mean reversion coefficient for confirmation of sign and by filtering out autocorrelation in wrongly lagged pairs.