A library to do CEP, possible applicability in real time processing and high frequency finance

Searches pairs from yahoo finance and sorts them by adf statistics. Calculates profit of the top 50 pairs.

Prerequisite
The only perquisite is an internet connection.

There are 2 strategies used for back testing:
1.Calibrate regression parameters using test period data of 1 year, and use the same calibrated values through out the test period.
2.Calibrate regression parameters using the previous 252 days of data on each each test date. (we hope that this will prevent loss during scenario when the ratio has been moved or shifted permanently.


TBD :
- Create a strategy of entering/exiting spread when spread enters back into the zone after crossing the thresholds
- Create a strategy of continuous re-balancing
- Add transaction cost

To directly run the application without building the source code, please see http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=15&lid=591

PS : GSL binaries are built on and will work only on 32bit. I will create a seperate folder for 64 bit later.


This application can be used for back testing pairs trading strategies using historical stock prices downloaded from Yahoo finance. It is based on WPF, and utilizes infrastructure of Tradelink library to do PL calculations.

Prerequisites:
1.Install WPF toolkit from http://wpf.codeplex.com/

Some FAQs:

How do I get to build and run the code?
1. Create a folder C:\Download.
2. Unzip attached download file and copy folder tratest1 into C:\downloads
3. Open project in Visual C# 2008 and build the application.

What is the green/red color box?
It is an indication of the confidence level of stationarity of the spread between the 2 stock prices. The series is obtained from log A - log B , as mentioned in (17) of paper http://www.yats.com/doc/cointegration-en.pdf pvalue reesult of augment dickey fuller test is used for interpolating green and red values.

How do I say if the pair can be profitable?
Keep moving the sliders for begin train time/ End training time. If it is green throughout the movements, the spread has been stationary during the entire history. It is thus more likely to be so in the near future.

What is the graph?
When checkbox for Show Graph is checked, and then calculate button is clicked, graph of spread will be shown of the training data, along with the follwing lines:
mean spread
mean +/- (upper threashold) * stddev
mean +/- (lower threashold) * stddev

If you find issues, please post your message in :
http://www.quantcode.com/modules/newbb/viewtopic.php?topic_id=315&post_id=593&order=0&viewmode=thread&pid=0&forum=1#forumpost593

If you are interested in learning more about doing charts in WPF, please see these links:
http://msdn.microsoft.com/en-us/library/dd456632.aspx
http://msdn.microsoft.com/en-us/library/system.windows.forms.datavisualization.charting.aspx

Source code for project is available in http://www.quantcode.com/modules/docmanager/view_file.php?curent_file=404&curent_dir=19

Screenshot:

This application performs Johansen's max eigen value test to verify cointegration for maximum of 12 stocks.

To use this program, simply click on the install link. ClickOnce takes care of all dependency issue, and this program should work on both 32bit and 64bit Windows.

Following are steps to use this program:
1. Enter either a list of symbols or paste space delimited series. If symbols are entered, it will query yahoo finance to get the adjusted close price of each stock.
2. After calculating the lagged matrix, Eigen value decomposition is performed and then Johansen test results are displayed in the Stats tab.
3.The Eigen tab displays eigenvalues and eigenvectors.
4.Life tab displays graph of spread for the currently selected eigenvalue.

Finds cointegrated triplets from yahoo finance, which can be used to create a trading strategy.
Uses Johansen's test to find coingeration vectors, and sorts them by half life.

Table prerequisite: