Difference between revisions of "Pair Trading Lab Portfolios"
| Line 40: | Line 40: | ||
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. | 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 == | == Portfolio Properties == | ||
| + | (todo) | ||
| + | == Money Management == | ||
| + | Pair strategies grouped in a portfolio share same management rules. You can imagine the Portfolio is actually a manager and all strategies have to ask the manager if they can open a position and how big the position should be. | ||
| + | |||
| + | The money management used in our software is '''slot based'''. That means, you configure (per portfolio) how many slots are there. Typical value is in range in 5-15. So if you say, for instance, my portfolio has 5 slots available, you say there can be max 5 standard pair positions opened at the same time. So it does not matter, how many active strategies you have in your portfolio - the system guarantees, there will '''never be''' more than 5 slots used = max 5 pair opened at the same time. If all slots are used, it means you already have 5 pairs opened and your account margin is used up to the maximum safe limit. In this situation, no new pairs are opened until some other position is closed. | ||
| + | |||
| + | Why we have slots instead of just saying how many pairs can be opened at the same time? Slots make it more flexible. Imagine situation, where you have pairs with very nice recent profit experience, on the other hand you have some pairs which are not so good recently. With slots, you can say - the first pair strategy works very well, so let's boost it and give it more weight - for instance, you can say it will occupy two slots instead of one. On the other hand, for not-so-good pairs, you can assign only half of the slot to it, until it gets better. | ||
| + | |||
| + | Actually, '''setting the slot occupation for pair strategy is equivalent to adjusting the money management weight'''. You can change the slot occupation in range from 0.1 (10% of the slot) to 2.0 (200% of the slot). Default occupation is 1, which means 1 slot = 1 pair. | ||
| + | |||
| + | Let's look at some example. Imagine a portfolio with 5 slots configured. Then the situation might look like this: | ||
| + | [[File:Slot-example.png|center]] | ||
Revision as of 10:10, 17 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:
- new strategies may be still added using Portfolio Manager
- 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
(todo)
Money Management
Pair strategies grouped in a portfolio share same management rules. You can imagine the Portfolio is actually a manager and all strategies have to ask the manager if they can open a position and how big the position should be.
The money management used in our software is slot based. That means, you configure (per portfolio) how many slots are there. Typical value is in range in 5-15. So if you say, for instance, my portfolio has 5 slots available, you say there can be max 5 standard pair positions opened at the same time. So it does not matter, how many active strategies you have in your portfolio - the system guarantees, there will never be more than 5 slots used = max 5 pair opened at the same time. If all slots are used, it means you already have 5 pairs opened and your account margin is used up to the maximum safe limit. In this situation, no new pairs are opened until some other position is closed.
Why we have slots instead of just saying how many pairs can be opened at the same time? Slots make it more flexible. Imagine situation, where you have pairs with very nice recent profit experience, on the other hand you have some pairs which are not so good recently. With slots, you can say - the first pair strategy works very well, so let's boost it and give it more weight - for instance, you can say it will occupy two slots instead of one. On the other hand, for not-so-good pairs, you can assign only half of the slot to it, until it gets better.
Actually, setting the slot occupation for pair strategy is equivalent to adjusting the money management weight. You can change the slot occupation in range from 0.1 (10% of the slot) to 2.0 (200% of the slot). Default occupation is 1, which means 1 slot = 1 pair.
Let's look at some example. Imagine a portfolio with 5 slots configured. Then the situation might look like this:
