RE: [amibroker] Re: how to use CORRELATION MATRIX

["Ken Close" <closeks@xxxxxxxx>]

Dirk: many thanks for the references.

 

Ken

 

-----Original Message-----
From: dirk schreiber
[mailto:tianatrading@xxxxxxxxx] 
Sent: Saturday, November 29, 2003
5:05 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: how to
use CORRELATION MATRIX

 



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





 





 







----- Original Message ----- 





<span
>From:<font
size=2 face=Arial> <a
href="" title="closeks@xxxxxxxx">Ken Close 





To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx






Sent:<font size=2
face=Arial> Friday, November
28, 2003 8:25 PM





Subject:<font size=2
face=Arial> RE: [amibroker]
Re: to HERMAN: N100 Correlation table





 



OK, very nice code, which produces a nice
output.

 

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.)

 

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 &#8220;pair traded&#8221;, is that the
idea?  Has anyone explained how to set up pair trading to see if this is
profitable?

 

Thanks for any added insights.

 

Ken

 







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