- Optimizer function curve fits and tests out-of-sample. Users can, for example, split a date range by any percentage, curve-fit the older portion and out-of-sample test the later data
- Optimizer function can optimise the time-periods used in calculating the standard deviations of the residual series and determine the most profitable threshold triggers
- Full control of residual back test criteria including value, direction, Z-score, and position relative to the standard deviation of the data sample
- Set stop-losses and targets by residual value, residual standard deviation value, or as a ± percentage of simulated pair position size
- Handles mixed currency pairs
- Automatically balances pair component cash values in accordance with the beta of the cointegrating equation
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THE tool-set for relative value pairs traders
A product of Sparrow Holdings, LLC — established 2004