• New Automate entire scanning, testing and filtering processes with the Scheduler
  • New Strategy optimization capability using the Scheduler
  • New Brute force optimize time-varying beta parameters
  • New Drive FX scans using forex feeds from multiple MT4 broker sources
  • New New quality checks for data with large gaps and/or repetitions
  • New Results appear and can be processed as they are produced – not at the end of the scan as before
  • Driven by the Engle-Granger cointegration methodology
  • Choice of fixed or, for volatile pairs, time-adaptive beta methods
  • End-of-day and intra-day scanning at multiple resolutions and observation lengths
  • User choice to exclude pre-open and post-close transactions from intra-day scans
  • Handles time differences across time-zones during intra-day scans (for example, permitting UK vs Europe, Australia vs Tokyo etc)
  • Scan any user-chosen group within and across geographies, sectors & industries.
  • Optimizes the regression process. Valid Engle-Granger regression results depend on the variable order in which they are regressed. ArbMaker manages this.
  • Automatically removes autocorrelated pairs at high lags. Ignoring lag selection distorts results.
  • Filter and refine scan results by R², prospective profitability, speed-of-mean-reversion, half-life, cointegrating coefficient (beta), t-values, proprietary data normality measures, spread axis crossings and 95% / 99% confidence intervals.
  • Full spread analysis to establish the tradability of cointegrated pairs – knowing cointegration is present is only half the job.
  • Graphical analysis tools include plots of spreads, spread Z-scores, Q-Q Normality, Variance to Model, Auto-correlation & Partial Autocorrelation Functions and Indexed Prices & Spread of the underlying securities.
  • Selection of technical indicators and overlays available during spread analysis including Bollinger Bands (4 bands), Stochastic RSI, MACD and Hilbert SineWave studies.
  • Can use IQFeed, MT4, Yahoo!, Google and Bloomberg data

 

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