Pair Database - Revision history

Admin: /* Profit Measures */

2015-03-30T13:55:50Z

‎Profit Measures

Admin: /* Profit Measures */

2015-03-30T13:55:01Z

‎Profit Measures

Admin: /* Orthogonal Stats */

2015-03-30T13:54:06Z

‎Orthogonal Stats

Admin: /* Cointegration */

2015-03-30T13:52:14Z

‎Cointegration

Admin: /* Orthogonal Stats */

2015-03-30T13:51:40Z

‎Orthogonal Stats

Admin: /* Orthogonal Stats */

2015-03-30T13:50:14Z

‎Orthogonal Stats

Admin at 13:47, 30 March 2015

2015-03-30T13:47:34Z

Admin at 13:41, 30 March 2015

2015-03-30T13:41:12Z

Admin at 13:38, 30 March 2015

2015-03-30T13:38:31Z

Admin at 13:32, 30 March 2015

2015-03-30T13:32:03Z

@@ Line 70: / Line 70: @@
 ** Median [http://www.investopedia.com/terms/c/cagr.asp CAGR]
 ** Median Linearity
-** Median Sharpe ratio
+** Median [http://www.investopedia.com/terms/s/sharperatio.asp Sharpe ratio]
 ** Median system score
 ** Min [http://www.investopedia.com/terms/c/cagr.asp CAGR]
@@ Line 80: / Line 80: @@
 ** Median [http://www.investopedia.com/terms/c/cagr.asp CAGR]
 ** Median Linearity
-** Median Sharpe ratio
+** Median [http://www.investopedia.com/terms/s/sharperatio.asp Sharpe ratio]
 ** Median system score
 ** Min [http://www.investopedia.com/terms/c/cagr.asp CAGR]
@@ Line 90: / Line 90: @@
 Because for some pairs not all backtests have been performed and aggregated (this can happen if there was not enough data available for performing backtests with longer periods), you can also filter on number of backtests performed to include only pairs with sufficient number of backtests aggregated. The field name is "Backtests performed".
-In addition to aggregated profit stats, pair database includes also Sharpe ratios of concrete strategies:
+In addition to aggregated profit stats, pair database includes also [http://www.investopedia.com/terms/s/sharperatio.asp Sharpe ratios] of concrete strategies:
 * Ratio model with period 15
 * Residual model with period 40

@@ Line 68: / Line 68: @@
 Results from backtests above have been aggregated in this way:
 * for backtests unlimited in both directions, results have been aggregated together and we got these stats:
-** Median CAGR
+** Median [http://www.investopedia.com/terms/c/cagr.asp CAGR]
 ** Median Linearity
 ** Median Sharpe ratio
 ** Median system score
-** Min CAGR
+** Min [http://www.investopedia.com/terms/c/cagr.asp CAGR]
 ** Min Score
 These results have been aggregated over all pair leg orders (except Min CAGR and Min Score). For Min CAGR and Min Score, you have also select the best/worst case scenario related to pair order. Select "Trading in both direction" to work with these measures.
@@ Line 78: / Line 78: @@
 * for backtests limited in single direction (long or short), results have been aggregated together and we got the same stats:
-** Median CAGR
+** Median [http://www.investopedia.com/terms/c/cagr.asp CAGR]
 ** Median Linearity
 ** Median Sharpe ratio
 ** Median system score
-** Min CAGR
+** Min [http://www.investopedia.com/terms/c/cagr.asp CAGR]
 ** Min Score
 These orders have been aggregated for the better case scenario related to long or short direction. That means, if long-only stats were better than short-only stats, you will see long-only stats here. Select "Trading in single direction" to work with these measures.

@@ Line 52: / Line 52: @@
 * [http://artax.karlin.mff.cuni.cz/r-help/library/asbio/html/DH.test.html Doornik-Hansen] [http://en.wikipedia.org/wiki/P-value p-value] - result of the Doornik-Hansen normality test applied to orthogonal residuals. If >= 0.95, D-H test is passed with 95% confidence
 * [http://en.wikipedia.org/wiki/Shapiro%E2%80%93Wilk_test Shapiro-Wilk] [http://en.wikipedia.org/wiki/P-value p-value] - result of the Shapiro-Wilk normality test applied to orthogonal residuals. If >= 0.95, S-W test is passed with 95% confidence
-* PACF rating - autocorrelation rating of the residuals. This number is always <=0 (0 = the best rating)
+* PACF rating - autocorrelation rating of the residuals. This number is always <=0 (0 = the best rating). [http://en.wikipedia.org/wiki/Partial_autocorrelation_function What is PACF?]
 Orthogonal stats do not depend on pair leg ordering.

@@ Line 31: / Line 31: @@
 Cointegration test results and cointegration residual measures:
 * [http://en.wikipedia.org/wiki/Coefficient_of_determination R-squared] - measure of the cointegration regression fit
-* ADF test p-value of individual variables (you can use it together with the next field to form your custom confidence cointegration test, i.e. for 97% confidence).
+* ADF test [http://en.wikipedia.org/wiki/P-value p-value] of individual variables (you can use it together with the next field to form your custom confidence cointegration test, i.e. for 97% confidence).
-* Cointegration p-value - p-value of the final step of Engle-Granger test
+* Cointegration [http://en.wikipedia.org/wiki/P-value p-value] - p-value of the final step of Engle-Granger test
 * &beta; coefficient (OLS) - regression coefficient of the cointegration regression (OLS)
 * Half-life (cointegration) - half-life of cointegration residuals

@@ Line 50: / Line 50: @@
 * [http://en.wikipedia.org/wiki/Skewness Skewness] - skewness of orthogonal residuals
 * [http://en.wikipedia.org/wiki/Kurtosis Kurtosis] - (excess) kurtosis of orthogonal residuals
-* [http://artax.karlin.mff.cuni.cz/r-help/library/asbio/html/DH.test.html Doornik-Hansen] p-value - result of the Doornik-Hansen normality test applied to orthogonal residuals. If >= 0.95, D-H test is passed with 95% confidence
+* [http://artax.karlin.mff.cuni.cz/r-help/library/asbio/html/DH.test.html Doornik-Hansen] [http://en.wikipedia.org/wiki/P-value p-value] - result of the Doornik-Hansen normality test applied to orthogonal residuals. If >= 0.95, D-H test is passed with 95% confidence
-* [http://en.wikipedia.org/wiki/Shapiro%E2%80%93Wilk_test Shapiro-Wilk] p-value - result of the Shapiro-Wilk normality test applied to orthogonal residuals. If >= 0.95, S-W test is passed with 95% confidence
+* [http://en.wikipedia.org/wiki/Shapiro%E2%80%93Wilk_test Shapiro-Wilk] [http://en.wikipedia.org/wiki/P-value p-value] - result of the Shapiro-Wilk normality test applied to orthogonal residuals. If >= 0.95, S-W test is passed with 95% confidence
 * PACF rating - autocorrelation rating of the residuals. This number is always <=0 (0 = the best rating)

@@ Line 45: / Line 45: @@
 === Orthogonal Stats ===
-For each pair in database, orthogonal regression (TLS) has been calculated and residuals of this regression have been analyzed:
+For each pair in database, [http://en.wikipedia.org/wiki/Total_least_squares orthogonal regression (TLS)] has been calculated and residuals of this regression have been analyzed:
 * &beta; coefficient (TLS) - coefficient of the regression. Because changing order of variables give inverse value, for this field we '''always take the value >= 1''' (in absolute value)
 * Half-life (orthogonal) - half-life of orthogonal residuals
-* Skewness - skewness of orthogonal residuals
+* [http://en.wikipedia.org/wiki/Skewness Skewness] - skewness of orthogonal residuals
-* Kurtosis - (excess) kurtosis of orthogonal residuals
+* [http://en.wikipedia.org/wiki/Kurtosis Kurtosis] - (excess) kurtosis of orthogonal residuals
-* Doornik-Hansen p-value - result of the Doornik-Hansen normality test applied to orthogonal residuals. If >= 0.95, D-H test is passed with 95% confidence
+* [http://artax.karlin.mff.cuni.cz/r-help/library/asbio/html/DH.test.html Doornik-Hansen] p-value - result of the Doornik-Hansen normality test applied to orthogonal residuals. If >= 0.95, D-H test is passed with 95% confidence
-* Shapiro-Wilk p-value - result of the Shapiro-Wilk normality test applied to orthogonal residuals. If >= 0.95, S-W test is passed with 95% confidence
+* [http://en.wikipedia.org/wiki/Shapiro%E2%80%93Wilk_test Shapiro-Wilk] p-value - result of the Shapiro-Wilk normality test applied to orthogonal residuals. If >= 0.95, S-W test is passed with 95% confidence
 * PACF rating - autocorrelation rating of the residuals. This number is always <=0 (0 = the best rating)

@@ Line 30: / Line 30: @@
 === Cointegration ===
 Cointegration test results and cointegration residual measures:
-* R-squared - measure of the cointegration regression fit
+* [http://en.wikipedia.org/wiki/Coefficient_of_determination R-squared] - measure of the cointegration regression fit
 * ADF test p-value of individual variables (you can use it together with the next field to form your custom confidence cointegration test, i.e. for 97% confidence).
 * Cointegration p-value - p-value of the final step of Engle-Granger test
@@ Line 41: / Line 41: @@
 * R-squared - it is the same for both variable orderings
 * ADF test p-value of individual variables - it always works with the worst case scenario
 === Orthogonal Stats ===

@@ Line 6: / Line 6: @@
 We have setup a high performance cluster which allows us for each of these >10,000,000 pairs perform hundreds of tests and calculations. All the data is then indexed in a special database for fast searching. The system is able to execute all kinds of complex queries on this database in less than 30 seconds.
 == Data description ==
 For each pair, we have performed certain tests and calculations. You can filter pairs using any of these measures/ tests results. In addition, you can also sort results based on some of these measures.

← Older revision		Revision as of 13:38, 30 March 2015
Line 97:		Line 97:

	Only Sharpe ratios of these concrete strategies have been indexed. Select "Sharpe ratio" field for filtering/sorting using these measures. You will have to select additional options (worst/best case scenario, direction, model, period...).		Only Sharpe ratios of these concrete strategies have been indexed. Select "Sharpe ratio" field for filtering/sorting using these measures. You will have to select additional options (worst/best case scenario, direction, model, period...).
		+
		+	=== Instrument filters ===
		+	In addition to pair measures, you can also filter pairs using current instrument (equity) measures. These measures are not part of the pair database, these are "extra" conditions using '''current''' market data. This means that tomorrow you can see slightly different results than yesterday (because market data do update).
		+
		+	You can filter on:
		+	* Average daily volume - in shares traded
		+	* Market capitalization - in millions
		+	* Instrument types (regular stock, ETF, ETN...)
		+	* Instrument sector
		+	* Instrument text (you can for instance search for pairs containing word "gas" or "gold" in one or both instrument titles)
		+	* Instrument not delisted - you can filter delisted stocks away
		+
		+	For most filters above, you are able to select if just one or both legs match your condition.

← Older revision		Revision as of 13:32, 30 March 2015
Line 85:		Line 85:

	Because for some pairs not all backtests have been performed and aggregated (this can happen if there was not enough data available for performing backtests with longer periods), you can also filter on number of backtests performed to include only pairs with sufficient number of backtests aggregated. The field name is "Backtests performed".		Because for some pairs not all backtests have been performed and aggregated (this can happen if there was not enough data available for performing backtests with longer periods), you can also filter on number of backtests performed to include only pairs with sufficient number of backtests aggregated. The field name is "Backtests performed".
		+
		+	In addition to aggregated profit stats, pair database includes also Sharpe ratios of concrete strategies:
		+	* Ratio model with period 15
		+	* Residual model with period 40
		+	* Ratio-RSI model with period 10
		+	* Kalman-grid model
		+
		+	Strategies above have been performed for each pair leg order, with unlimited and limited direction and for two periods:
		+	* full 3 years
		+	* recent 6 months
		+
		+	Only Sharpe ratios of these concrete strategies have been indexed. Select "Sharpe ratio" field for filtering/sorting using these measures. You will have to select additional options (worst/best case scenario, direction, model, period...).