What do our ‘Dynamic Filters’ do?

Another mini-chapter in the knowledge-sharing series in support of release of version 4.0 (for which trials can be taken here).

Incoming data changes the statistical profile of pairs – sometimes for the worse in terms of cointegration. For these pairs users may wish to:

• refrain from opening positions where the statistical profile of a given pair deteriorates below a certain level

• close currently open trades where the statistical profile of a given pair deteriorates below a certain level

That’s possible using 6 available statistical filters in ArbMaker’s Tracker screen. These are:

1. The Mean Reversion Coefficient (MRC)
2. R²
3. Cointegration
4. Fixed Beta (entered as an absolute number)
5. Correlation (entered as an absolute number)
6. Pair Reversed

See the documentation for the detail but, in brief, each of these works an exclusion basis. For example, the cointegration filters exclude pairs failing at chosen levels; the MRC filter excludes pairs sporting a coefficient greater than a user-defined level; and so on. Settings can be saved via the ‘Save Layout’ button.

With these controls traders only go into pairs with the stat profiles they want.