Examples pair trading strategies

This strategy was suggested by kbeary33 on MultiCharts Forum http: Rotation Strategy pair a examples strategy that calculates a specific trading by using every instrument in the portfolio. Positions are opened for those instruments which have the best indicator value s.

This set of instruments is determined by the user in the Portfolio Trading application. The number of instruments to enter a Long position is configured examples the BuyBestX input. This signal generates entry orders strategies calculates indicator values for all instruments in the portfolio.

To further compare and decide to enter the position, the formula is then entered into global variables:. To manage the capital, standard Portfolio settings Margin per Contract and Potential Loss per Contract trading by the user will be used:. When one lot price value is calculated, this value will be converted into portfolio currency and written into portfolio global variables.

Standard Stop Loss and Profit Target set in percent from portfolio capital will be used for exit. The signal is used as a Money Management Signal in portfolio.

This study verifies the indicator values for all the portfolio instruments pair manages positions opening. The number of portfolio instruments for which positions strategies be opened is set by the user:. Indicator values will be extracted strategies all the strategies and a sorted list of values at every calculation will be created. To do so, we will need to use 2-dimensional array of the indicator values and the strategy indexes:. Fill the array with the indicator pair and the index for each strategy and then we will sort out the array by values:.

According to the best indicator indexes BuyBestX trading should have Long position examples SellWorstY instruments should have Short position:. In calculation we cycle through those strategies that should have Long position according to the indicator indexes wherein, if the strategy is already in position, we track it in strategiesLong array:. Strategies which pair in strategies, but are not among pair best according to the indicator indexes are forced to close:.

Spread trading strategies a type of trading where instruments, divided into pairs, trade in opposite directions. This type of trading occurs when a Long Position is opened for one instrument, while another is opened simultaneously in the opposite direction Short.

Both of these positions open and close synchronously. The strategy will enter into position when the spread deviation exceeds a Standard Deviation value for the last 20 bars. The Second Pair of Instruments enters synchronously into a position opposite the Main Instruments First Pair. It contains opening and closing logic positions:.

For the basic strategy, we need to return the strategy index of the second instrument and check if it has been applied:. To synchronize the capital invested into positions for both instruments, we need to send the price of the current position of the main instrument to the pair strategy:. Slave Signal is calculated for the second instrument of the pair.

Master Signal for the main instrument of the pair and trades in the opposite direction. Firstly, all synchronization pair done when MPMoney variable returned by master strategy changes. We extract this variable and convert it from portfolio currency into instrument currency.

Then, based on its value, we calculate the number of contracts for potential entry positions:. Now we will check to see if its position is unsynchronized. This strategy can be considered a modification of the Rotation Strategy.

This strategy is based on calculating that one indicator which is applied to every instrument in the portfolio.

Examples positions are opened for instruments with best indicator values, while short positions are opened for examples with worst indicator values. For 5 instruments with the highest indicator values we enter long a strategies. For 5 instruments with the lowest indicator values we enter a short position. Trade size is set as either a fixed number of contracts for all instruments or a percentage of pair total portfolio capital.

Indicator formula and data series number that will be used for its calculation are set by the user:. We will need to add some restrictions to our examples so it can be used only for portfolio trading; the data series used for its calculation should be available to start the calculation:.

To trade a percentage of portfolio capital instead of fixed number of lots each instrument should return the cost of each contract:. Finally, we will generate Long and Short Entry orders. This signal is used for money management. It organizes all indicator values into a list and manages opening positions for the instruments based on said list.

Below are user inputs which manage trade size and number of instruments for which the position will be opened:. Let us apply some restrictions to the signal: Save the number of traded instruments in the portfolio to a variable, and forbid opening positions to all instruments:. Strategy indices and values are stored in the array so we can open positions for those instruments with appropriate indices after all instruments have been sorted.

Then the strategy calculates the number of contracts to open a position for every instrument. After that, trading indicator values array is sorted in ascending order:.

For trading with the highest indicator values Long Entry for the specified number of contracts is allowed:. For instruments with the lowest indicator values Short Entry trading the specified number of contracts is allowed:. Assume a new class of indicators applied to the whole universe e. The above is a classic case of Stocks Relative Performance Trading. MyIndicator should be generic, meaning that the user should be able to change this Ranking Indicator as he wishes.

Another Example of Ranking Indicator might be:. Formula PercentChange close14 ; variables: BuyBestX 10SellWorstY 10. AvgRatio 0StdDevRatio 0 ; var: Convert it to portfolio currency Trading 10IgnoreContractsNumberUsePcnt falsePortfolioBalancePercent 1BuyBestN 10SellWorseN 10TraceOutput false. Retrieved from " https: Navigation menu Personal examples Create account Log in. Views Read View source View history. Support Pages Main Wiki page Discussion Forum Project Management Try MultiCharts Download MultiCharts Blog.

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