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Hi all,
I am new to Metastock.
I'd like to use MS to perform pair trading, eg when i receive a signal to long stock A, i will simultaneously short stock B. I have tried working this using the Metastock Enhanced System Tester and this allows me to program/operate on single securities only.
Is there anyway to solve this? or do I have to purchase a addon/plugin like TradeSim?
regards,
kenneth
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Rank: Advanced Member
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Joined: 7/25/2005(UTC)
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Hi Kenneth
The next MSTT newsletter (due out within the next couple of weeks) will explain how to use the Trade Equity tools to transfer signals from a "master" security across to a secondary security or an entire portfolio of pairs. The master signals from Trade Equity can just as easily be applied to the EST, and pairings can be set up for long/long, long/short, short/long or short/short as required.
Roy
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/24/2012(UTC)
Posts: 6
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/24/2012(UTC)
Posts: 6
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Hi all,
For pair trading in Enhanced System Tester, I have tried
A:=Security("A", C);
B:=Security("B", C);
AofRSI:=RSI( A , period );
tested on stock A:
Buy{ AofRSI < 20 }
Sell{ AofRSI > 80 }
I have duplicated the above system to get this
tested on stock B:
Buy{ AofRSI > 80}
Sell{ AofRSI < 20}
the weird thing is that since both systems are based of RSI of stock A, they should register same entry and exit dates with equal number of trades executed. However I get different entry dates and total trades when I tested it and got it to work only when I clicked on the "points only" option.
Anyone knows what is causing this discrepancy?
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 7/25/2005(UTC)
Posts: 1,042
Was thanked: 57 time(s) in 54 post(s)
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Hi Kenneth
I don't think A:=Security("A", C) will do it. Try using A:=Security("A",RSI(C,period));
Make an indicator that performs the same functions as your EST Buy Order window and experiment on a chart until you get the result that you want. Testing code in an indicator is always easier than in an expert, exploration or system because you can generate visible outputs and actually see what's going on. You can generate as many or as few outputs as you want from an indicator. Troubleshooting in one of the other tools is like working with a blindfold on.
Roy
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/24/2012(UTC)
Posts: 6
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Hi Roy,
I tried using indicator builder and realised its different from system tester!
I thought they are supposed to work on the same logiv upon receiving a signal, starts to open a position, but it does't seem to be working as what I thought. May I know if EST will take into account things like time of order placed during the day, thus resulting in the order to be executed on the next day?
I came to this conclusion because from indicator builder and EST, the dates which positions are opened are about 1 or 2 days difference.
Kenneth
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/24/2012(UTC)
Posts: 6
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