Changes

Jump to navigation Jump to search

Spread and Pair Trading

1,375 bytes added, 19:29, 29 October 2012
no edit summary
To see a spread histogram of 2 instruments, one needs to plot a chart window with 2 symbols as data series 1 and data series 2. In the list of our prebuilt studies there are 2 spread indicators that can be applied to such chart.
==Pair Tradingin Real-Time==
One can only send orders to buy or sell one or another instrument of a pair in MultiCharts, but to reach this goal the following system should be developed:
<div style="background-color: #E5F6FF;">'''Example''': When on first chart a particular condition for order generation is met and the strategy sends a market order to go 1 contract long, through Global Variables this strategy informs the other signal on the second chart to generate a market order to go 1 contract short. </div>
 
==Pair Trading in MultiCharts .NET in Real-Time==
 
In MultiCharts .NET it is possible to send one order to different symbols/accounts/brokers at same time without Global Variables in real-time trading.
 
==Pair Trading in Backtesting==
 
It is not possible to use Global Variables for backtesting of your pair-trading strategy either in regular MultiCharts, or in MultiCharts .NET. However it possible for both products in Portfolio Backtester by means of Global Variables. Multiple data series should be allocated in correct order in Portfolio Backtester, so it is possible to perform pair trading, using GV, because of vertical bar-by-bar calculation of the strategy on all of your data series.
 
<div style="background-color: #E5F6FF;">'''Example''': When you have GV on first series, you should be able to get those GV when script is calculated on next data series. The calculation of the script is sequential. It means that the script is first calculated on bar 1 of data A and it generates a sell order (as an example) and passes a value through global variable. Then the script is calculated on bar 1 of data B where it reads the global variable and generates identical buy order. Though everything happens sequentially, in fact the sell and buy orders are generated on the bars with the same timestamp (if data A and data B have identical series).</div>
[[Category:FAQ]]

Navigation menu