Another mini-chapter in the knowledge-sharing series in support of release of version 4.0 (for which trials can be taken here).
Incoming data changes the statistical profile of pairs – sometimes for the worse in terms of cointegration. For these pairs users may wish to:
- refrain from opening positions where the statistical profile of a given pair deteriorates below a certain level
- close currently open trades where the statistical profile of a given pair deteriorates below a certain level
That’s possible using 6 available statistical filters in ArbMaker’s Tracker screen. These are:
- The Mean Reversion Coefficient (MRC)
- R2
- Cointegration
- Fixed Beta (entered as an absolute number)
- Correlation (entered as an absolute number)
- Pair Reversed
See the documentation for the detail but, in brief, each of these works an exclusion basis. For example, the cointegration filters exclude pairs failing at chosen levels; the MRC filter excludes pairs sporting a coefficient greater than a user-defined level; and so on. Settings can be saved via the ‘Save Layout’ button.
With these controls traders only go into pairs with the stat profiles they want.