Statistical Arbitrage in PRT

• 08/20/2021 at 9:17 AM #175756
  phanz

  Hi all,

  I came across this simple, interesting and informative site about ‘statistical arbitrage’.  Big words, but relatively straightforward if you have the statistical library in place.  The site contains codes from Python, which come with extensive stats library.  Does PRT has the necessary stats library to mimic the python codes in the example from the website?  If anyone has the code snipets, will appreciate if you can paste the codes or provide the link for the codes.  Thank you and have a profitable day ahead.

  https://blog.quantinsti.com/mean-reversion-strategies-introduction-building-blocks/

   

  

  phanz

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  08/20/2021 at 9:49 AM #175760
  robertogozzi

  PRT has no libraries, apart from built-in indicators that you can CALL.

  ProRealCocde has many code snippets, screener, indicators and strategies. You can search among them for the words you are looking for, simply typing them in the search box that opens whenever you hover your avatar on the top right corner (blue toolbar).

  In this case enter MEAN, REVERSION or both and you will be returned many links, among these:

  https://www.prorealcode.com/blog/mean-reversion-trading-revert-back-mean-strategy/

  https://www.prorealcode.com/prorealtime-indicators/trending-and-mean-reversal-simulation/

  https://www.prorealcode.com/topic/bollinger-reversion-strategy-usd-jpy/

   

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  phanz

  

  robertogozzi

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  08/20/2021 at 4:02 PM #175805
  Nicolas

  Stats arb means that we can use 2 instruments in the same strategy and we can’t do that with ProOrder. But first we need to find what instruments to compare in a stock universe (you can do that in ProScreener, but it means that we have to compare 1 defined stock in the code to a list, see example: https://www.prorealcode.com/topic/select-single-stock-for-coding/#post-163793 , so you can create a list of stocks “moving together”, but only with 1024 bars (if you are premium). Then considering that confortable spread between the 2 stocks can give good opportunities to jump into a reversion to their mean is rare.

  A lot of people think that stats arb are now being made un-tradable because of HFT.

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  phanz

  

  Nicolas

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