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Hi Jing Wu & Jared Broad ,
So i have re run the algorithm with daily data and it does seem to work.
I am not sure why i cant run the algorithm on high resolution data though.
i understand that the higher the frequency of data means the fees are greater, however if we trust, that we have a well hedged portfolio this should not mater, as the algorithm should only exit when the portfolio is in profit net of fees? otherwise the symbols should stay in the market? is there a way to code these rules in?
To be honest I am not really understanding where the portfolio exits the market.
Many thanks,
Best,
Andrew
Jack Simonson
Hi Andrew,
I addressed your concerns regarding asset-weighting using higher-resolution data in a different thread that you posted, so hopefully, that will help answer some of your questions. The way that the algorithm is designed to enter/exit positions is based on the 'mispricing index', which uses conditional probabilities of asset movement to determine if the assets are under-priced or over-priced based on their historical distributions. The algorithm doesn't take into account fees or whether it is net profit when it enters or exits a position, but rather it looks to take advantage of profit opportunities that might exist based on technical indicators. The algorithm can certainly be customized to account for these things, specifically using Portfolio and Securities objects, but as it is written the copula pair-trading algorithm relies solely on technical indicators.
Andrew Czeizler
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