Trainer: Ernest Chan
Our Pairs Trading & Related Strategies e-learning workshop is designed to give you everything you need to know to get started with pairs trading and includes:
+ Online course module (3 months access)
+ Hard copy manual
+ MATLAB software (1 month) with MATLAB tutorial
+ Direct access to trainer for assistance
Frequently Asked Questions
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| Based in the UK: £895 + VAT | A non-UK company based in the EU |
| Based outside of the European Union: £895 | and EU VAT registered: £895 |
| Based in the EU but not VAT registered: £895 + VAT |
This e-learning workshop introduces delegates to pairs trading, an important and effective market neutral strategy. The principle methods of research and implementation are discussed in detail and students will be given access to relevant software (MATLAB) to put theory into practice. Frequently Asked Questions.
COURSE MODULE
Overview
+ Stationarity, cointegration, and mean reversion
+ Pair trading in stocks, ETF's, futures, and currencies
+ Beyond trading pairs: trading stock baskets against index and other statistical arbitrage strategies
Stationarity of a time series
+ Concept of stationarity and why it is useful
+ Statistical test for stationarity
+ Testing for stationarity
+ Exercise: Backtesting a possible trading strategy
+ Exercise: Testing EURGBP for stationarity
Cointegration of two time series
+ Concept of cointegration and why it is useful
+ Statistical test for cointegration
+ Exercise: Testing for cointegration
+ Exercise: Building and backtesting a simple Bollinger Band pairs trading strategy on IGE-EWC
Calculating the half-life of mean-reversion
+ How long is the expected holding period for a mean-reversion trade?
+ Why is computing half-life better than computing average holding period?
+ Using the Ornstein-Uhlenbeck formula to determine half-life
+ Exercise: Computing the half-life of mean-reversion for IGE-EWC
The pitfalls of cointegration analysis
Is cointegration necessary for pairs trading?
+ Where 2 instruments are not cointegrated over L/T, but mean-revert under certain situations
+ Mean reversion and seasonal effects
+ Mean-reversion and trading horizon
"Parameterless" pairs trading strategies
+ A way to "pyramid" or "layer" your pairs positions
What about stop losses?
Pairs trading stocks, ETFs, and futures
+ Which is the best market?
+ The pitfalls of each market and some ways to avoid them
Beyond Trading Pairs
- Trading an ETF against a subset of its component stocks
+ Exercise: Constructing a trading model of XLE against its components
+ Statistical arbitrage: picking two subsets of stocks from an index & trading them vs each other
+ Exercise: Constructing a market neutral statistical arbitrage strategy
Conclusion
+ Mean-reversion vs. momentum strategies: why focus on the former?
+ Cointegration and mean-reversion: related, but neither necessary nor sufficient
+ Different ways to construct mean-reverting portfolios
+ Software for download, books and articles for references
APPENDIX MODULE: MATLAB Tutorial
+ Why MATLAB and what are the alternatives?
+ Overview of its capabilities as a research, backtesting, and automated trading platform
+ Exercises: building some utilities for trading and plotting simple graphs
+ Using toolboxes
+ Freeware: Spatial-econometrics.com
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