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Testing new strategy - Statistical arbitrage

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Ondrej Smith
221
Ondrej Smith  

Hi traders,

Does anybody have experience with strategy called statistical arbitrage? I mean trading high correlated and cointegrated pairs usually shares. I am testing it very successfully on the demo and I would like to know if it is suitable to trade on real account. 

For example yesterday trades are on the picture. 

Thanks Ondrej

 

 

Marco vd Heijden
Moderator
5519
Marco vd Heijden  
Ondrej:

Hi traders,

Does anybody have experience with strategy called statistical arbitrage? I mean trading high correlated and cointegrated pairs usually shares. I am testing it very successfully on the demo and I would like to know if it is suitable to trade on real account. 

For example yesterday trades are on the picture. 

Thanks Ondrej

 

 

You can code in Matlab to calculate the optimized re calibration period or even have it make the trading decisions once it detects co integration  the best i ever saw was +/- 7%
Ondrej Smith
221
Ondrej Smith  

Hi Marco,

 I am not looking for any code, but for someone who can share his experience, give me some tips what should be aware and so on. I like to trade manually instead of any EA.  

Marco vd Heijden
Moderator
5519
Marco vd Heijden  

Well then my advise is simply keep going.

We are always on the outlook to expand our horizon with new information but if you found something that works well for you it can be good to just stick with it.

Ondrej Smith
221
Ondrej Smith  

till now, it works great. Yesterday there weren´t any trades because of bank holiday in USA but today again profit. But steel I am trading just small amount because two month test is not enough for me. I will post my trades at the end of the week to so how am I doing. 

igordii Doherty
468
igordii Doherty  
Ondrej:

Hi traders,

Does anybody have experience with strategy called statistical arbitrage? I mean trading high correlated and cointegrated pairs usually shares. I am testing it very successfully on the demo and I would like to know if it is suitable to trade on real account. 

For example yesterday trades are on the picture. 

Thanks Ondrej

 

 

yes
Michalis Phylactou
12437
Michalis Phylactou  
Ondrej:

Hi traders,

Does anybody have experience with strategy called statistical arbitrage? I mean trading high correlated and cointegrated pairs usually shares. I am testing it very successfully on the demo and I would like to know if it is suitable to trade on real account. 

For example yesterday trades are on the picture. 

Thanks Ondrej

 

 

Are you using this with stocks only or with forex also?
Ondrej Smith
221
Ondrej Smith  
Michalis Phylactou:
Are you using this with stocks only or with forex also?
I am trading just shares on this strategy. I also trade all the other instruments like forex, commodities and equity indexes. But this statistical arbitrage have the best result on shares. I don´t know how the others are doing
Ondrej Smith
221
Ondrej Smith  
igordii Doherty:
yes
Do you have any tips for me?
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