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
Client views
Consistently hands on and the software was written by traders for traders
Rawdon and his team spent a lot of time getting my strategies to work within their software. So far that I know of they are the only software team willing to work with another advisor's strategies instead of trying to shove their own down your thr...
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...
