Unilateral Pairs Trading Indicator
Summary
Based on James Altucher’s book Trade Like a Hedge Fund: 20 Successful Uncorrelated Strategies & Techniques to Winning Profits (Wiley Trading)
Screen Shots
Usage
James Altuchers book Trade Like a Hedge Fund: 20 Successful Uncorrelated Strategies & Techniques to Winning Profits (Wiley Trading)
The idea is that when two pairs are trading that are highly correlated ( I use pairs with a correlation value > .85, but that’s just me) they will shift out of sequence with each other for short bits of time, and statistically they will “re-converge”
And how do I find 2 stocks that are highly correlated like that? Well, I wrote a program to analyze all the stocks, and compile them into a list, and tell me which ones are highly correlated 
You know, the easy, lazy programmers way!! I used to have it online, but there wasn’t enough interest to keep it going. If I was to get a sudden surge in interest, I’d consider putting it back online again…. I might even make it free!! Just let me know if you prefer online, or a desktop app you run at home.
So now that you have a highly correlated pair, how to you apply it to the Unilateral Pairs Trading technique that James Altucher outlines? Well, basically for a long buy, and the ShowMe takes the work out of it, if the standard deviation of some calculated ratios is less then -1.5 (modifiable to suit your trading style) AND the percent change in price is greater than 2%, then you have a buy signal. On the other hand, if you have 1.5 standard deviations and greater than -2% change, then you have a short sell trading opportunity. There is more to it than that, and James Altuchers book is really great to read for insight into how this, and many other, trading techniques work for hedge fund managers
Downloads
Download Unilateral Pairs Trading Indicator (ELD and Workspace)
The download for Unilateral Pairs Trading is broken.
Happy Trading!
Tags: Hedge Fund, James Altucher, P, Pairs Trading, U, Unilateral Pairs Trading Indicator
where could I download the unilateralPairs_Altucher.dll file ? thank you
sorry,I could not find the UnilateralPairs_Altucher.dll,where to download it?
thank you
Can you please double check on his indicator? It does not work because the unilateralPairs_Altucher.dll file is missing. Thanks
Did somebody get UnilateralPairs_Altucher.dll?
Ditto on the request for "UnilateralPairs_Altucher.dll"
Thanks.
same issue re: missing .dll
Hi Guys –
I don’t have a copy of TradeStation anymore, and I can’t find a .dll, so I’m flying blind on this.
It’s been a long time, so you may have to help me remember.
I don’t think that the .dll is really needed.
Try to comment out or remove the lines the are calling the dll file (Tazatek.dll ? )
If that doesn’t work, send me the text of the .eld file, and I’ll see if the .dll is really needed, or if there is a way to fix this.
I’ve had so much response on this, that I may need to reaquire my developer copy of TradeStation to help out again.
Sorry for the delays, my wife finished a book on Social Media Marketing ( http://www.moxiemafia.com/blog and http://www.moxiemafia.com ) and I’ve been helping her out, as all good husbands do
PS – I had a site up that created correlated pairs for all the stock symbols, is this something that would be useful to put up again?
Matthew-
Thanks for the comeback. Looking at the EL, it appears that the .dll in question is very important. Here is the text for the two EL files that call for the .dll:
external: "UnilateralPairs_Altucher.dll", double, "T_unilateralPairs",
IEasyLanguageObject {self},
int { ma(ratio) },
int { ma(ratio – ma(ratio) },
int {StdDev} ;
external: "UnilateralPairs_Altucher.dll", double, "T_unilateralStdDev", IEasyLanguageObject {self};
external: "UnilateralPairs_Altucher.dll", int, "T_init", IEasyLanguageObject {self};
#events
onCreate = T_init;
#end
input:
UpperBand(-2.0),
LowerBand(-.5),
movAvg_1(20),
movAvg_2(20),
movAvg_3(20);
var:
dummyVal(0), expr(0);
dummyVal = T_unilateralPairs(self, movAvg_1, movAvg_2, movAvg_3);
expr=T_unilateralStdDev(self);
plot1(UpperBand, "upper", lightgray);
plot2(LowerBand, "lower", lightgray);
plot3(0, "Zero", magenta, default, 1);
plot4(expr, "StdDev", yellow);
plot5(expr, "StdDevLine", red);
____________________________________________________
external: "UnilateralPairs_Altucher.dll", double, "T_unilateralPairs",
IEasyLanguageObject {self},
int { ma_ratio },
int { ma_maRatioDiff },
double { stdDev_thresholdBuy},
double { stdDev_thresholdShort},
double { stdDev_thresholdSell },
double { stdDev_thresholdCover};
external: "UnilateralPairs_Altucher.dll", double, "T_unilateralRatio", IEasyLanguageObject {self};
external: "UnilateralPairs_Altucher.dll", double, "T_unilateralMaRatio", IEasyLanguageObject {self};
external: "UnilateralPairs_Altucher.dll", double, "T_unilateralStdDev", IEasyLanguageObject {self};
external: "UnilateralPairs_Altucher.dll", int, "T_init", IEasyLanguageObject {self};
#events
onCreate = T_init;
#end
inputs: dbg(0);
var:
plotVal(0),
ma_ratio(20),
ma_maRatioDiff(20),
thresholdBuy(1.5),
thresholdShort(-1.5),
thresholdSell(-.5),
thresholdCover(.5);
plotVal = T_unilateralPairs(self,
ma_ratio,
ma_maRatioDiff,
thresholdBuy,
thresholdShort,
thresholdSell,
thresholdCover );
// plot1(plotVal, "mainLine");
plot2(T_unilateralRatio(self), "Ratio");
plot3(T_unilateralMaRatio(self), "MA_Ratio");
plot4(T_unilateralStdDev(self), "StdDev");
I don’t use Tradestation anymore, actually I’m using Metastock.
Does anyone knows how to translate this formula to Metastock language?
With regards
Gelo
Hi, is it possible to get the prog that will sort all stocks looking for correlated pairs as a desktop.
Alos, any news on getting the .dll
Many thanks, Neil.
So if this dll is so important, What do we do now? Is there a UnilateralPairs_Altucher.dll file that someone has and if so where do we place it.
Matthew,Can you share the dll file or rescript the code for TradeStation 8
Thanks Evan
Evan,
I’ve sent you a .dll file that appears to be the right one. Could you test it out for us, and if it’s the right one, I’ll add it to the post for others to use.
Matt
Matt,
Hey, can you send me the dll file please? Any idea where this library came from?
thanks,
Jon