How often should I re-scan for new pairs?

Posted by on Jul 28, 2014 in ArbMaker News! | No Comments

kbHere’s another common question in this knowledge-share series we’re running in support of the ArbMaker 4.0 launch.

At each update in the Tracker new data is added to the time series and its impact on the statistical profile integrated.

Depending on what that profile looks like over time users may want to discard certain pairs (for instance, if they are no longer cointegrated at 95% and so on – but the criteria used to keep/discard is entirely up to the trader).

In our internal intraday portfolios it is this process that tends to drive the frequency/sequence to run scans for pairs already in the Watchlist and/or Tracker. As we lose pairs to failing cointegration we will run new scans.

Why? The premise of the software is to:

  1. allow users to construct their own pairs trading strategies; and
  2. to ensure those strategies are applied to cointegrated pairs.

Note that the software is designed to control the latter point through deployment of our ‘Dynamic Filters‘ In the Tracker. These monitor the stat profile with each new piece of incoming data.

Trials of version 4.0 can be had here.

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