StatArb & Forex: ArbMakerPlus launches FX support!

Posted by on May 7, 2012 in ArbMaker News! | No Comments

Been looking for a tool capable of providing relative value arbitrage insights into the forex market using cointegration methods? Try the upgraded version of ArbMakerPlus.

We had many requests for FX support inside ArbMakerPlus. It is now ready – ArbMakerPlus is the only off-the-shelf software that provides a comprehensive suite of cointegration tools specifically tailored for FX arbitrage. And, yes – integration with MT4 is planned.

Many forex sites and forums interested in arbing fx pairs concentrate on correlation and technical analysis. These are mainly concerned with the very short term and are essentially predictive tools.

Supplementing these with cointegration analysis provides important advantages – cointegration is a probability-based method, robust and able to identify pairs with more stable mean-reversion relationships – and hence superior inherent hedging.

The new features in this upgrade:

  • Forex support in the back tester and signaling criteria
  • Automatic or manual FX margin calculations
  • Manually adjustable pip factors
  • FX position sizing at the lot, mini-lot and micro-lot levels
  • Built in forex commission schedule equal to 2 pips – or set your own
  • Handles and tests in the presence of negative beta with due alteration from long/short to long/long if desired
  • Profit/loss data now shown in the back tester both as a total and split out between each half of the pair
  • New/expanded criteria for back testing and signal setting including the MACD,  H Sine, and Trailing Stops
  • An ‘Exclude/Include’ marker – stay out of trades during earnings season or other price-sensitive announcements.
  • Manual ‘Close Trade’ button for the ‘In Trade Items’ portfolio function
  • User-defined column display inside the ‘Trades’ tab
  • Manual ‘Delete’ button added to the ‘Trades’ list
  • Selectable item refreshing in the Watchlist
  • More filtering options on the ‘Trades’ screen for deeper analysis
  • Winning trades now shown in green, losers in red
  • Commissions pricing per item now good to 3 decimal places to cover the recent change in Interactive Brokers fees from USD 0.01 to USD 0.005 per share on US equity transactions
  • ‘Clear Filters’ buttons on the Watchlist and Cointegration screens
  • Sound alerts for enter and exit signals
  • Email alerts for enter and exit signals with along with the full text of the detail of the signal

Note that if you are already trialing ArbMakerPlus this upgrade will automatically recreate a new database. You must backup your existing database using the ‘Export’ feature or you will lose your data. Once the new version is installed simply use the ‘Import’ function on your backed-up data.

You must also re-enter the Y amounts in your portfolio items and re-test to fully adapt existing export data to the configuration used in the upgraded database. Lastly, symbol files have to be re-imported; and, if using IQ, those account settings require re-entering and IQ re-selected as your feed provider in the Exchanges screen.

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