Difference between revisions of "Pair Trading Lab Portfolios"

Revision as of 14:59, 11 May 2013

Portfolio is in the terms of our website a group of pair trading strategies traded together. Strategies are independent but the parent portfolio controls money management rules. Also the portfolio has some additional settings and rules applied on all child strategies.

You can manage portfolios in the Portfolio Manager section of the website as long you are a Premium Member.

At this moment the only use of portfolios is to trade them in real-time using the PTL Trader application. But later, there will be more features available - you will be able to backtest and optimize whole portfolios. But we are not there yet, this is a future concept.

So, the portfolio is a group of pair trading strategies. You can imagine situation like this:

• Portfolio: Live Portfolio
  • MSFT-AAPL, Ratio Model, MA Period: 15, StdDev Period: 15, ...
  • MA-V, Ratio Model, MA Period: 25, StdDev Period: 25, ...
  • KO-PEP, Residual Model, Linreg Period: 30, ...
  • F-GM, Residual Model, Linreg Period: 35, Entry Threshold: 1.5, ...
• Portfolio: Paper Portfolio
  • GLD-GDX, Residual Model, Linreg Period: 30, ...
  • SPY-QQQ, Ratio Model, MA Period: 15, StdDev Period: 15, ...
• Portfolio: Another portfolio
  • INTC-AMD, Ratio Model, MA Period: 15, StdDev Period: 15, ...

So, it means, that pairs MSFT-AAPL, MA-V, KO-PEP, F-GM are to be traded live together, sharing money management rules.

Portfolios are just groups of trading strategies, until you bind them to IB account in PTL Trader. Then they are executed using PTL Trader on your IB account, until you unbind them.

Portfolio, which is not bound to any IB account:

• may be modified or deleted using Portfolio Manager
• may be modified using PTL Trader application
• strategies may be modified, deleted or added using Portfolio Manager
• strategies may be deleted using PTL Trader
• some strategy properties may be modified using PTL Trader
• may be bound to an IB account in PTL Trader

Portfolio, which is already bound to an IB account:

• strategies may be deleted using PTL Trader
• some strategy and portfolio properties may be modified using PTL Trader
• may be unbound from an IB account in PTL Trader

Start license allows users to use two IB accounts at the same time, so two portfolios may be bound to an IB account at the same time.

Portfolio Properties