Pair Database

This is the manual for the new pair database system released at Mar 30th 2015. The new database fully replaced the older solution introduced in 2012 which was based on studies applied to all sector-based pairs. This new solution is standalone (not based on studies anymore) and it includes cointegration and orthogonal measures too.

Unlike the old system, this pair databases includes all brute-force combinations of qualified US equities regardless of sectors. Equity is considered qualified to be in the database if for last 2 months of the screening period its average price exceeds 0.2 USD and its average volume exceeds 80k. So for the database period of Jan 1st 2012 - Jan 1st 2015 it gives more than 10,000,000 pairs.

For each pair, we have taken last 3 years of data and we calculated profit measures, orthogonal stats, we have performed cointegration tests, etc...Practically we have included most data you can see play with in the pair analyzer.

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.