Our latest version for non-FX versions is now released. If you are a client and have not received your update email you should get in contact with us.
The main changes:
- major reworking of the feed connection code in the Tracker to handle more volume and refresh faster under that volume
- bid/ask ratio implementation for the latest price in the Tracker gives more accurate signals
- additional Scheduler information to cover number of trades and biggest wining trade
- a revised drawdown metric in the back tester now calculates on an intra-trade basis rather than only the entry and exit values
- new trade duration metric in the back tester
- expanded export options now include configuration parameters (brokers, feeds, APIs, exchanges etc)
- assorted bug fixes and refinements
We have a long wish-list of requests we are also working on for a late-January release. What we could not include this time (for example, the dollar value per standard deviation, scaled entries, eSignal connection etc) we continue to get ready for future release.
If you are a demo user consider booking an appointment with us to check out and gain access to this latest full unrestricted version. It is light years ahead in terms of speed and functionality.
Lastly, it is that time of year again: during the Team’s holiday break 13 December to 6 January we will provide emergency support only.
Season’s Greetings and thank you for you custom!
The October newsletter is out in sync with version 3.4. We strongly encourage interested traders to click here to book a Webinar Overview with us and after the presentation take up the offer to try it for free for 30 days.
(Just click the image below to see the newsletter).
Stimulating article a few days ago from Mr. Basenese at Wall Street Daily in which he links income inequality to a relative value pairs trade opportunity between Wal-Mart and LVMH Moet Hennessy Louis Vuitton SA. He presents this chart in making his case:
Now there is no statistical suggestion as to cointegration support for the pair over the period 2012 until now in Mr. Basenese’s analysis. Does any exist that would buttress the argument presented? We ran WMT against MC (the primary Paris listing of LVMH) to see.
There is indeed cointegration at the 90% confidence level since 2011 – but not when using 2012 as the starting point. That may suggest the relationship is weakening. However, whilst trading a pair like this runs legging risk – the primary exchanges are not open concurrently – the P&L record over both 2011 and 2012 is still good:
Visually the trades panned out this way:
Some details of the analysis:
- End-of-day data
- Basic Z-score based strategy under a fixed beta calculation method
- 41 day average holding period per trade
- Outlay per trade = ~$9000 unmargined, ~$3600 margined
- Gross profit per trade $565, a return per trade of ~6% unmargined and ~15% margined
- Margin assumed at 40%
- Unmargined profit = 51% over the period
- Margined profit = 128% over the period
- Currency differences accounted for
- Trading hour differences accounted for
- Relative beta accounted for
The data suggests taking a long position today in Walmart and shorting LVMH. But, given the deteriorating cointegration profile 2011 vs 2012, how much longer will the theory and the stat continue to hold and support the trade…
We released our latest newsletter earlier today. It contains data from a futures/equity scan, an area of our ongoing internal research into cross-asset testing. Access it by clicking on the image below.
This came from version 3.0 of ArbMaker. There are still have a few pre-release ‘demo-nar’ slots open to walk participants through this latest incarnation of the software and answer queries live.
Recent participants have given very high quality feedback that we are racing to incorporate into the software ahead of launch. We need your input!
Our latest version 3.0 of ArbMaker is due for release in the first week of September 2013 and is a Huge Leap Forward in automation, speed and features.
If you are a current client you can upgrade to some or all of the new features free of charge (depending on your subscription level and version).
If you are not a client perhaps a look at the latest additions will persuade you to get on board:
Check out all the new features in the draft release notes here.
Even better, explore the new software further by booking a walk-through with us and ask us in person about the pre-launch offer.
Thank you again for your time, support and testimonials!
It is not far off. The video below provides a demo and greater detail.
The new self-booking appointment system to attend webinar demos referred to near the end of the clip is here.
The collapsing Rand has been paramount in the minds of South Africans during the last two weeks. The Rand, according to the editorial of local weekly the ‘Sunday Times’ last Sunday, is the Nation’s share price, a market indicator of the net worth of South Africa, Incorporated.
Well, SA Inc. is looking wobbly as the Rand went into a swoon in the second half of May and touched a four year low of R10.20 to one US Dollar on Thursday, 30 May.
In perhaps a classic case of coincidental correlation, the Rand hit the four year low during the trading day following a press briefing on the economy by President Jacob Zuma. If the objective of the briefing was to ‘calm the markets’, the path of the Rand the trading day following the briefing told a very different story.
Did President Zuma cause the record low of the Rand? Certainly, argued many: did the four-year nadir not occur after his press briefing that was supposed to calm the markets?
The Rand is traditionally said to be a volatile emerging market currency. Here is a take on the last two Presidents and the value of the Rand using statistical parameters of the mean; and those of variance to gauge volatility. The question is: has the “share price” of SA, Inc. been more volatile during President Zuma’s time at the helm than during that of his predecessor?
The following table presents values of the average and variability in the value of the USDZAR during President Zuma’s time, and also during the time of President Mbeki, his predecessor. The chart below the table shows values of the average and the standard deviation during the two periods.
Table: Rand/US$ Averages and Variability During Recent Presidential Terms
Coefficient of Variation
10 May 2009 – 31 May 2013*
14 Jun 1999 – 24 Sep 2008
(Data Source: http://research.stlouisfed.org/fred2/series/DEXSFUS/ (Download 4 Jun 2013)
*Current President of RSA
While President Zuma’s speech did not calm the markets, he has presided over a relatively less volatile Rand/US$ period than his predecessor. The variance, standard deviation and coefficient of variation are all lower since he has been in charge of SA, Inc.
There are, of course, a myriad of factors at play. But the statistics do not tell a lie. Or do they – context (and another 5 years of data) might make a lot of difference to trading judgements formed today.
Yesterday, we announced the new features we have implemented in ArbMaker.
And we have great testimonials from both the institutional and retail sector.
Today, we officially launch our latest version of ArbMaker with 2 special offers. The software is better than ever with features commercially unavailable outside a vastly more expensive custom-coded platform. Don’t take our word for it: look instead to those client testimonials that came from betas of today’s release.
Those Special Launch Offers in detail…
For ArbMakerFX, valid until 25 May 2013, the offer includes:
the time varying beta features essential (why?) for testing and trading more volatile pair relationships. This IS an exceptional feature usually reserved for ArbMakerPlus clients.
a US$50 reduction on each purchase
a cumulative deal possibility with our Facebook offer of a 10% reduction for 2 referrals. This FB offer expires this Sunday, 12 May 2013 at midnight GMT.
And for ArbMakerPlus, valid until 25 May 2013, the offer includes:
- a 15% reduction on monthly lease subscriptions – extended to include renewals!
Tomorrow we launch the latest incarnation of ArbMaker along with very generous purchase and lease deals!
Some of the new features:
- Streamlined install process using an embedded database for easy install and management: no more SQL Express!
- Fully compatible with retrospective ArbMaker data exports
- MT4 execution bridge for auto trading
- Auto-detection of MT4 broker lot granularity and set to lot, mini lot or micro lot resolution accordingly
- Completely revised user documentation
- Dynamic filters monitor cointegration status and can be used to enter or exit trades
- Dynamic filters now have a master on/off switch
- Drawdown now included in the equities backtest report screen
- Runs user supplied price data via .csv files
- Only unit roots test passing at 99% move to cointegration testing. Strengthens the profile of pairs coming through the scanner
- PACF bypass added to the ‘Bypass filters’ option. This permits dual listed equities, such as Total SA (Paris & NYSE) to appear despite autocorrelation.
Intriguing chart and snippet from Morgan Stanley below (via ftalphaville.FT.com). This type of potential arbitrage opportunity is precisely the sort that the ArbMaker futures module currently being coded will be able to analyze:
“With iron trading at $134/t, iron equities (P+P EV/t) are trading at a mean of $1.27, or 52% below the Sept’12 level when iron was at $87/t. Whilst the equity market did not ‘buy into’ iron remaining at that low level then, the market now is not giving the companies credit for the current iron ore price. Sentiment remains weak with soft Chinese economic data and Chinese steel mill guidance of a continued negative vector in iron ore pricing. However, analyst Rachel Zhang in the 29 April Asia Metals and Mining Weekly noted China’s rebar output in March jumped 22.5% from Feb to hit a historical high of 16.47Mt. The MS commodities team observes that both mill and distributor steel inventories have started declining, and holds the view that seaborne market will remain in deficit in 2013 & ‘14 in light of supply-side issues and improved prospects for Chinese demand.”