How to Compute Cointegration using Amibroker and Python

Cointegration

Cointegration is used in Statistical Arbitrage to find best Pair of Stocks (Pair Trading) to go long in one stock and short(Competitive peers) another to generate returns. Statistical Arbitrage(StatArb) is all about mean reversion, looking for deviation in the spreads and expecting mean reversion from the spread.

Amibroker AFL Programming 2015 – Bangalore Workshop

AFL

You know that Amibroker is one of the best tool to create custom trading strategies, Signal Generation , Performing Technical analysis and even test/validate your trading models. At Marketcalls we use AFL Programming extensively to create Complex Custom Indicators, Trading Strategies, Trading Dashboard, Buy & Sell Signal Models. If you want to learn Amibroker and AFL Programming Language one step better then this course is for you.

Code Snippet : Time Left Info Near to the Candle/Bars

Time Left

Here is a small code snippet which displays the seconds left for the bar to close near to the current running candle. If you are more focused on trading at lower timeframe then this feature make more sense as a lower timeframe trader. And the code is compatible above Amibroker 5.71 onwards. It may not work with lower Amibroker versions.

Monte Carlo Analysis using Amibroker

Monte Carlo Analysis

Monte Carlo Analysis is a process of validating the robustness of the Trading Strategy. With Monte Carlo Analysis we can simulate set of Equity curves using random numbers from the backtest data. These large sets of simulations are then used to find the likely probability distribution of an unseen risk in trading the strategy.

Supertrend V4.0 – Amibroker AFL Code

Supertrend V4

Compared to Supertrend 3.0 with the new version two interesting features has been added. One is a simple EMA filter rule is added to Buy and Short Conditions and changes in the dashboard (included target levels in Supertrend Dashboard for discrete traders). And performance of Trading system is really interesting when comes to backtesting with Nifty and Bank Nifty Futures. Recorded Webinar of Supertrend and Filters posted down below.

Webinar on Supertrend and Filters

Supertrend Filter

In this Webinar you will be learning basics of Supertrend, studying the performance of Supertrend, And how adding filters affects the supertrend performance. Session focuses more on system trading concepts, Performance Metrics with respect to Supertrend and the role of 200 day Moving Average as a filter in Supertrend Trading System.

Code Snippet – Normalized Volume

Nifty Future Normalized Volume

Studying the Volume behaviour in a stock and index futures plays a critical role in studying the supply and demand behavior. What if we want to rate the volume with relative to last 50-bars. In such a scenario Normalized Volume Comes into picture. Normalized volume is a volume divided by its average.

Equity Returns after Extreme VIX and William VIX FIX Readings

VIX FIX

Was just going thro QUSMA blog on Equity Returns Following Extreme VIX and William VIX FIX Movements. And couple of peoples are throwing ideas on implementing the strategy with percentile rank function. The same discussion also happening in Quantopian Community which inspired me to code the strategy for Nifty Futures

Start Amibroker from Scratch – Video Tutorials

Here are the bunch of video tutorials which helps you understand the basics of Amibroker Software. These video tutorials focus on Installation, Charting Features, Drawing Tools of Amibroker. Learn more about datafeed vendors, how to create watchlist, and how to install custom indicator which fasten your learning skills if you are very new to amibroker.