BUYING BY COMPARING TWO SECURITIES

Viewing 13 posts - 1 through 13 (of 13 total)
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  • 10/17/2016 at 11:02 AM #15012 quote
    samlee
    Participant
    New

    Hi,

    I was trying to do a statistical arbitrage on ProRealTime but not sure how.

    For example, Apple and Microsoft shares might go up and down in a similar pattern.

    If Apple shares go up first and Micorsoft shares has not gone up, we can sell Apple shares and buy Microsoft shares. And after some time, Microsoft shares would have gone up and we can then sell Microsoft shares and buy Apple shares.

    I could see the price of Apple shares and Microsoft shares both on the same chart. But I don’t know how to code in the Trading System such that we can compare Apple prices and Mircrosoft prices.

    Could someone point me in the right direction?

    Thanks.

    Sam

    10/17/2016 at 11:08 AM #15016 quote
    Nicolas
    Keymaster
    Master

    Multi-instrument support is still not available but will be in a future release. So no “statistical arbitrage strategies” are possible I’m afraid 🙁  sorry.

    10/17/2016 at 11:27 AM #15020 quote
    samlee
    Participant
    New

    How about a simple comparison between the price of one security to another security? Also not supported at the moment?

    10/17/2016 at 12:06 PM #15022 quote
    Nicolas
    Keymaster
    Master

    You can do it with different tools:

    • spread analysis (CTRL+R)
    • compare actual chart to other security (right click on chart)
    • Compared security (indicator you can find in the list)
    • Correlation coefficient (indicator you can find in the list)

    But no comparison is possible with code actually.

    10/17/2016 at 12:10 PM #15025 quote
    samlee
    Participant
    New

    Thanks for your reply. Any idea when it will be available in the future release? Like this year, or 2017, or year X?

    10/17/2016 at 2:01 PM #15028 quote
    Nicolas
    Keymaster
    Master

    Year 2017 hopefully.

    06/26/2017 at 1:37 PM #39067 quote
    steviaggi
    Participant
    Average

    Hello @Nicolas,

    any news about this?

    Stefano

    04/15/2024 at 1:56 PM #231528 quote
    carloernestorossi
    Participant
    New

    follow up

    04/15/2024 at 2:29 PM #231529 quote
    robertogozzi
    Moderator
    Master

    Unforunately Multi-instrument support is still not available as of v12.

    04/15/2024 at 2:45 PM #231533 quote
    carloernestorossi
    Participant
    New

    It’s a pity, it would be a very useful feature that other applications provide.

    04/15/2024 at 2:55 PM #231534 quote
    carloernestorossi
    Participant
    New

    No hope for the future?

    04/15/2024 at 3:48 PM #231544 quote
    robertogozzi
    Moderator
    Master

    We all hope a future release will add this feature, but nobody knows IF and WHEN that will happen.

    04/15/2024 at 6:31 PM #231553 quote
    carloernestorossi
    Participant
    New

    we can suggest a crowfounding to implement this function.

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BUYING BY COMPARING TWO SECURITIES


ProOrder: Automated Strategies & Backtesting

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samlee @samlee Participant
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This topic contains 12 replies,
has 2 voices, and was last updated by carloernestorossi
1 year, 11 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 10/17/2016
Status: Active
Attachments: No files
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