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hello ken,
there was a thread about pair
trading on this list 6 or 7 months ago. yuki gave some helpful insights on
how she used pair trading. there were also some links for further reading. have
a look at messages #38336, 38343, 38345, 38346 and 38414.
you might also want to have a look
at a huge thread over at elite trader wich i found quite
useful:
<A
href="">http://www.elitetrader.com/vb/showthread.php?s=8457ca67e389880fbcf6e41053ffb89f&threadid=8533&perpage=6&pagenumber=1
hope this helps,
dirk
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ken Close
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 28, 2003 8:25
PM
Subject: RE: [amibroker] Re: to HERMAN:
N100 Correlation table
<SPAN
>OK, very nice code,
which produces a nice output.
<SPAN
>
<SPAN
>How do you use it
(profitably)? I see waaaay down at the bottom of this message string
(what a long message) that it is useful for pair trading. How? (Without
going blind, that is.)
<SPAN
>
<SPAN
>Changing the red to
grey lets me see the negative correlations. I guess an eyeball scan for
large negative values lets you know which pairs might be “pair traded”, is
that the idea? Has anyone explained how to set up pair trading to see if
this is profitable?
<SPAN
>
<SPAN
>Thanks for any added
insights.
<SPAN
>
<SPAN
>Ken
<SPAN
>
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