Apama Capital Markets Foundation Documentation : Algorithmic Trading Accelerator : Running the ATA Samples : Using Algorithmic Trading strategies : Statistical Arbitrage
Statistical Arbitrage
This is a Bollinger-band based statistical arbitrage trading scenario. It takes a pair of instruments and calculates the spread between their prices. From this spread, the Bollinger bands are calculated. Bollinger bands use the Standard Deviation calculation to build a pricing corridor around the spread price. When the spread crosses one of the bands, the strategy has identified a trading opportunity. Depending on which boundary is crossed (upper or lower), the orders are to BUY/SELL or SELL/BUY. You always buy one instrument and sell the other, and ideally have the same number of BUYs and SELLs, so you end up with no inventory.
Select an instance in the Scenario Instances to view its data in the graphic section.
To run strategies, click Create New. In the Statistical Arbitrage: Create dialog box, choose from the symbolsets to which you are subscribed, and then two instruments in the selected set.
When you change the value of a parameter, press Enter (while focus is on that field) to persist the change.
Click Create to save the parameters, and then click on its line on the page to run the strategy. Create as many strategies as you want.
Event Modeler is deprecated. Support for creating and deploying scenarios will be removed in a future release. It is recommended that you use EPL or queries to build new CMF applications.
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