Stat arb, synthetic asset and cointegration

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  • 05/30/2021 at 5:46 PM #170813 quote
    Oliviertrader2020
    Participant
    Average

    Hello,

    Is it possible to create a synthetic asset from the price of 2 assets?

    I explain: on Tradingview and other platforms, using the formula “3*ES – 1*NQ”, it is possible to create a synthetic asset (as on the screenshot) that will show us candles that represent the relationship of 3 ES contracts for 1 NQ contract.

    We can then make an stat arb when this synthetic asset, after having deviated too much from its mean (2 standard deviations), starts to come back to it.

    Thanks for your help. 🙂

    Spread-ES-NQ.jpg Spread-ES-NQ.jpg
    05/30/2021 at 7:32 PM #170818 quote
    robertogozzi
    Moderator
    Master

    It’s not possible to reference multiple assets/instruments.

    05/30/2021 at 8:00 PM #170820 quote
    Nicolas
    Keymaster
    Master

    But you can create the same chart with the Spread chart tool in Prorealtime

    I think that it would also be possible to build your stat arb with Proscreener which support multi instrument programming

    05/30/2021 at 11:57 PM #170827 quote
    Oliviertrader2020
    Participant
    Average

    Perfect. Thank you very much 🙂

    05/31/2021 at 12:04 AM #170828 quote
    Oliviertrader2020
    Participant
    Average

    On the other hand, it is not possible to use with Pro screener, because by right-clicking, it is not possible to add the created spread in a list… and therefore it will not be possible to screener several. This could be an excellent addition for the next versions of PRT. 🙂

    05/31/2021 at 12:10 AM #170829 quote
    Oliviertrader2020
    Participant
    Average

    Second tip: if in a future version of PRT we could backtest the spreads, buying and selling the number of underlying assets according to the conditions we would have defined, the platform would move to another level and get closer to what is done at institutional level.
    But it is already very encouraging when we see the improvements that have been added in recent years (Walk forward, table …). Have a nice evening

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Stat arb, synthetic asset and cointegration


ProBuilder: Indicators & Custom Tools

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Oliviertrader2020 @oliviertrader2020 Participant
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This topic contains 5 replies,
has 3 voices, and was last updated by Oliviertrader2020
4 years, 8 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 05/30/2021
Status: Active
Attachments: 1 files
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