Epic work but it’s almost here…

Posted by on Mar 20, 2012 in ArbMaker News! | No Comments

It’s late stage testing of our upgrade. Usually upgrades are step-improvements. This one, on track for release before month end, represents a very, very large jump in functionality:

Full & flexible signals
Assign multiple (and even conditional) entry and exit signals to each and every pair using the same criteria present in the back tester. Design your trading strategy, decide when you want in, and when you want out – ArbMaker will trip your alerts when your criteria are met.

And if you want a particular technical or other signal criteria coded that is not offered, ask and we’ll see what we can do.

An Intra-day cointegration algorithm
Operable under both IQ and Google with a choice of multiple resolutions and observation ranges. The algorithm applies a ‘matching tick’ principle to line up like-for-like prices. Even across different time zones.

Portfolio tracking
Want to track pairs by strength of cointegration? According to their sector? By average profit per back-tested trade? Effectively handle large numbers of pairs by assigning them to separate, named portfolios. Designate an ‘Active’ portfolio; signals generate a full textual description of number of shares, the prices and time of the signal; and, in automatic mode, tripped signals mark the underlying pairs as ‘In trade’.

An improved back tester
Better and extended Boolean logic, an easier to use interface, automatically generated text description of strategies, save strategies functionality, real commission schedules (and updatable if you change broker) as well as out-of-sample testing.

Portfolio testing & performance ratios
Back test your portfolio from the bottom up using tailored criteria for each and every pair. See an equity curve and get stats for drawdown, modified VaR, Sharpe, Treynor, Stutzer Index, Omega, Sortino, Jensen’s Alpha, skew, kurtosis…and a few more.

Integrated Google finance feed
The feed opens access (including real time access in some cases) to new markets not covered by Yahoo or IQ – for example India and Japan for which we have created new databases carrying around 500 symbols for each.

Follow single instruments
Create portfolios, back tests and trading strategies for single instruments as well as pairs.

An improved exporter
Export and back-up everything: all watch list entries, back tester strategies and entire portfolios. With one click.

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