Stat arb, synthetic asset and cointegration

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

  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. 🙂

  

  Oliviertrader2020

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  05/30/2021 at 7:32 PM #170818
  robertogozzi

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

   

  

  robertogozzi

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

  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

  

  Nicolas

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

  Perfect. Thank you very much 🙂

  

  Oliviertrader2020

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

  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. 🙂

  

  Oliviertrader2020

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

  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

  

  Oliviertrader2020

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