Scheduler

  • Schedule periodic scans of Exchanges/Sectors/Industries
  • Automatic filtering of scan results based on total profit, profit per trade, drawdown and winning ratio
  • Test multiple strategies in a single job – results find optimum strategy per pair
  • Brute force optimization of beta parameters for DESP and Kalman methods
  • Produces highly focused list of “pre-vetted” pairs for final assessment prior to trading…all the new Scheduler features

Scan, Filter & Analysis Features

  • Driven by the Engle-Granger cointegration methodology
  • End-of-day and intra-day scanning at multiple resolutions and observation lengths
  • Scan any user-chosen group within and across geographies, sectors & industries
  • Optimizes the regression process. Engle-Granger regression results depend on the variable order in which they are regressed. ArbMaker recognises and manages this…all the new Scanner features

Back tester features

  • Apply any available parameter – or combination of parameters – to define entry, exit, stop loss and targets
  • Flexible Boolean logic for multiple combination strategies
  • Full set of summary statistics for end-of-day tests including Sharpe, Treynor, Stutzer Index, Omega, Sortino, Jensen’s Alpha, skew, kurtosis…all the new back tester features

Portfolio features

  • Effectively handle and track large number of symbols with live incoming data
  • Assign custom trading strategies pair-by-pair
  • Signals generate full textual descriptions including transaction type, number of shares, prices and time of the signal…all the new Portfolio features

Technical specifications

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