ArbMakerPlus has uploaded…

Posted by on Apr 9, 2012 in ArbMaker News! | No Comments

…and can be downloaded from our new ‘Take the Trial‘ page.

The Main Features:

Scan for cointegrated pairs using end-of-day (EoD) data supplied from one of three sources – IQ, Google or Yahoo; and also scan on an intra-day basis with data from IQ or Google. ArbMakerPlus still has the speed of the original (testing between 25 to 30 pairs per second for 3 year EoD ranges) and can now crunch intra-day data at multiple resolution and observations. Cross time-zone scans are supported at the intra-day level making, for example, UK vs Western Europe or Australia vs Hong Kong easily comparable.

Track the results of scans on the Watchlist. Fully filterable and sortable with a wide array of descriptive and statistical criteria such as Exchange, Sector, Industry, beta, mean reversion coefficient, r-squared and so forth. See the underlying price data and t-values relating to the cointegrating equation, back test individual pairs and assign them to custom-defined portfolios.

Define and populate multiple custom portfolios for pairs and single instruments. Back test entire portfolios and analyse the resulting selection of performance data including the Sharpe, Sortino and Omega ratios, drawdown and many more. Or back test all portfolio items individually thus creating specific testing criteria to suit each item. These criteria automatically become the basis for live signals and are set to alert the user if the incoming data triggers them – follow the performance of your active portfolio as the live data comes through.

Accurate performance measurement should include accurate commission costs. ArbMakerPlus incorporates Interactive Broker’s commission schedule allowing users to back test and assess live performance gross and net of costs. UK symbols automatically include Stamp Duty, Indian symbols don’t overlook minimums, US costs reflect per share charges – and so on. ArbMakerPlus shows at a glance when performance before costs is flattering – as well as the reality of net profit. Moreover, users can also define new commission schedules and brokers as required.

ArbMakerPlus has global coverage and comes with ~30 equity exchanges built in. We can supply samples for all of them – you want the top 100 Italian large and mid-caps? The 500 top Indian or Japanese equities? France? The UK? Ask. Even without asking the software still comes with all US equities above ~$450m of market capitalisation as well as the 120 or so most liquid Extrange Traded Funds.

Our new documentation is here and includes information on all the new features. Take the trial!

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