ArbMakerPlus: sample strategies right out-of-the-box

Once ArbMakerPlus is set-up and a user has identified promising pairs of cointegrated instruments deciding on the strategy design can be a challenge.

ArbMakerPlus includes a wide range of criteria tools, drawing on various indicators and inputs, that help in the creation of systems. We’ve put together a brief sample set of example strategies as follows:

1. Direction + Z
2. FX Z range, direction and over reversion
3. Multi1
4. Multi2
5. Multi3
6. Z range and direction
7. Z range and direction w/layer

The file with these set-ups can be downloaded here and requires a simple import via the Operation->Import function. It will not overwrite anything; and it is added to existing databases.

“Multi1” as an example:

Eyeballing the descriptions in the back tester will explain how these strategies process data and generate signals.

As an example, consider the “Multi1” strategy. This is built using data from both the Z-Score chart and the Bollinger Band chart. It takes a combination of entry points relying on the longer term signal of the Z-chart in tandem with the shorter term signal generated by the Bollinger Band chart.

Note that how short-term the Bollinger Band signals are is a function of the settings made in the Bollinger Band chart itself (not shown below). Those used for the following chart were an 88 day average and standard deviation bands of ±1.5 and ±2.0:

Alongside these are the calls made against the Z scores of the residuals – and the conditions for both sets of chart data must be satisfied for entry/exits. The shot below also shows that stops and targets are based on the Z score data alone:

All in all, the sample strategies should provide insight and inspiration with their strategy designs – good luck!