Tip – walk forward your pairs
ArbMaker 4.0 handles out-of-sample testing at the point of pair selection but also can be used to check if your pairs still look as promising as the day they were placed in the portfolio.
For this, just go to the Portfolios, click Test on the pair in question and in the back tester dialog that opens tick the ‘WalkForward’ option.
The test will run your original strategy parameters to the day you placed the pair in the portfolio; and use all the new data that arrived since that date for the out-of-sample run. The results will be listed separately as Training and Run data.
Take a trial of the latest version right here and try it out!
