Wednesday, October 21, 2009

PDQ Dashboard Update

I've reorganized the sequence of Qs pairs to reflect the ascending order of the number of N days (optimized lookback period). This should yield a short term and longer term probability model when I can locate a few more reliable Qs pair candidates with 12-18 N day characteristics.
With the discounting of the BD type signals (P&L below R2), we're left with a residual of 3 signals, 2 longs and a short. Since the short is showing negative MOMO, the inference is that the lon side is the valid signal.
I'm still working with Jeff to implement the "Firing Line" filter for the trade signals that would cancel trades if the P&L/R2 status is below and descending (basically, a roll over of the equity curve). That filter should help resolve some of the current ambiguities in signal alignment.
There's still a few bugs with the PDQ Dashboard but these are being resolved and the forecasting model continues to be refined and made more robust at the same time.
As I've mentioned before, there are some very exciting possibilities presented by the PDQ Dashboard concept, both for daytraders and system traders, ETF and option traders.
I'll be exploring a few of these further in the weeks to come.

8 comments:

me said...

I really like your blog and the work you post! I´ve just started to use etf rewind for my pairs trading.
I really look forward for the "final"
PDQ Dashboard..
The Swede

bzbtrader said...

me,
Thanks for checking in. It's always good to know that these posts are helping folks understand and appreciate both the nuances and the possibilitiers of this platform.

Kristianson said...

Bzb,

Great work I concur. I have traded quite a few pairs with good success. So far I am up roughly 8% on capital employed with a draw down of 3.5% (real trading) and this is roughly 1 month of trading. My approach is so far discretionary, i.e. I hand pick my pairs through analysis using the Pairs sheet and execute the trades via IB (so far manually, working the orders). I have found many good ideas from Bzb so I am very grateful for his work. The pairs are monitored intraday and very often good signals occur intraday. Average holding time for me is about 3-4 days.

The Swede? I am from Sweden as well.

Jens

bzbtrader said...

Swede,
Good going! If you've got any tips you've discovered along the path to successful pair trading that you'd be willing to share, we'd love to hear them. 8%/month is a great return!.

me said...

Jens,
Good going indeed.I have a couple of pairs i follow and my approach is discretionary as well. I execute the trades via tradestation and have a long weekend trying to learn easylanguage..
Now some swedish, Jens - vore kul att byta lite ideér. Jag bor i stockholm

Michael (The Swede)

bzbtrader said...

Michael,
Yes!. I like the meatballs at IKEA also.

Kristianson said...

Hej Michael,

Kul att se en svensk har. Jag bor for tillfallet i Onsala utanfor Goteborg.

Vad har du for email sa kan vi byta ideer.

Hej da,

Jens

me said...

Jens,

evenholt@gmail.com

Trevlig Helg så hörs vi !

Michael