Upgrade news: intra-day cointegration algo in action

Posted by on Feb 22, 2012 in ArbMaker News! | No Comments

The most requested upgrade feature has been an intra-day version of the cointegration algorithm. The testing is meticulous work – transaction times must be cross checked internally by the code and then verified against external feed logs by us. But the results are interesting (this is IQ data):

This is a 15 minute plot of 1500 observations for the forex pair of AUDCAD/AUDNZD.

And here is another forex example taken at the 1 minute resolution. We believe with our next upgrade later this year it will be possible to run sub 1 minute cointegration scans fast enough for the results to be tradable.

Finally, an example in equities at the 30 minute resolution:

Coding and testing continue…

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