alui
30th July 2006, 07:20 PM
I'm wondering if some of you expert TS users out there can suggest a way to backtest pair-trades (e.g. Long SPY vs Short QQQQ). The 2 biggest problems I've encountered are:
1. Requiring the trade size of one side of the pair be determined by the other side. (Assuming equal amount of capital allocated to both sides).
2. Need to have simultaneous LONG and SHORT triggers (on 2 different securities) based on a single signal.
#2 can be worked around by setting up 2 separate explorations/simulations, one for each side, and combining the resulting stats/reports in Excel. But I haven't been able to resolve #1 in a satisfying way.
Thanks,
-Alex
1. Requiring the trade size of one side of the pair be determined by the other side. (Assuming equal amount of capital allocated to both sides).
2. Need to have simultaneous LONG and SHORT triggers (on 2 different securities) based on a single signal.
#2 can be worked around by setting up 2 separate explorations/simulations, one for each side, and combining the resulting stats/reports in Excel. But I haven't been able to resolve #1 in a satisfying way.
Thanks,
-Alex