- New Futures implemented, ready to back test
- New Balancing for all pairs including Best Fit and Actual fit for Futures and Cross Asset
- New Back test equities but trade them as Contracts for Difference
- New Cross asset-class testing: equities vs future, futures vs forex etc
- New Leverage/margin inputs for all asset classes
- New Walk forward, out-of-sample testing
- New Layering implementation
- New Save strategies & signals then use them to trade directly via Metatrader4
- New New popup that allows to change the Back Tester default values for Amount (Equities), Lots/Contracts (FX/Futures), and Leverage for each instrument type
- New New “Mirror” button that allows in one click to copy and mirror the Y strategy (Entry/Stop Loss/Target) for the X symbol
- Apply any available parameter – or combination of parameters – to define entry, exit, stop loss and targets
- Flexible Boolean logic for multiple combination strategies
- Full text descriptions of strategies as you create them
- Save strategies & signals then use them to trade directly via the Interactive Brokers TWS execution bridge
- Automatically balances pair component cash values in accordance with the fixed beta of the cointegrating equation
- Tune the spread with time-adaptive beta methods (Kalman filter and Double Exponential Smoothing Prediction)
- Continuous or same amount size per trade testing
- Mixed currency handling
- Can report 3 currencies eg a CHF/EUR pair can be reported in USD
- Copy and paste results into 3rd party software like Excel
- Full set of summary statistics for end-of-day tests including Sharpe, Treynor, Stutzer Index, Omega, Sortino, Jensen’s Alpha, skew, kurtosis…and more
- Equity curve for end-of-day back test
Back tester features
ArbMaker on Facebook
- How often? As often as needed. #pairstrading
ArbMaker » How often should I re-scan for new pairs?
arb-maker.com
At each update in the Tracker new data is added to the time series and its impact on the statistical profile integrated. - Cast the net wide #pairstrading
ArbMaker » Help! Can’t generate any cointegration results…
arb-maker.com
ArbMaker is an intuitive and easy to use statistical arbitrage system yet robust enough for professional and institutional environment. As it is an integrated system, i.e. real time data analysis done, strategized and order initiated at the same t... - Walk them forward! #pairstrading
ArbMaker » Tip – walk forward your pairs
arb-maker.com
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.
