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I googled to death and managed to find an unprotected Excel VBA code
for Augmented Dickey Fuller test
(
http://www.quantcode.com/modules/docmanager/view_file.php?curent_file=79&curent_dir=1
).
To check the accuracy of the code, I needed to teach myself R (
http://www.r-project.org/ ).
So far I have not been able to match the results...
Even if I successfully verify the accuracy, it would be a Gargantuan
task for me to convert to afl.
Probably R can produce cointegration matrices ( my final goal )
directly to rank the possible trading pairs
but the learning curve seems very steep.
I must admit I don't have enough domain knowledge nor coding ability but..
Is it TECHNICALLY possible to use R functions ( adf, Phillips-Perron,
KPSS, johansen, etc ) and use AmiBroker to read the result and loop
through tickers to create matrices ?
regards,
dxd
--- In amibroker@xxxxxxxxxxxxxxx, "john_dxd_smith"
<john_dxd_smith@xxx> wrote:
>
>
> Thank you for the pointers.
>
> ADF was exactly what I was looking for as learning exercise.
> I'm aware that most of the pair-trade alpha is quickly arbitarged away
> and goes in a full circle in which bad performances drive away the
> less sofisticacted and increase the opportunity which in turn attracts
> more participants which again decrease the profit potential.
>
> With your pointers I will start my long journey of learning the
> anotomy and theory of internal combustion engine before driving a car.
>
> best regards,
> dxd
>
> --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@> wrote:
> >
> > It's been a while since I created that, but yes, this can quite
> > easily be achieved in AB. However, since there's nothing more
> > important than to learn along the way, and find you own solutions,
> > I'll give you only a few pointers:
> >
> > 1) You need to create a few OLS-regression functions. One simple
> > example is:
> >
> > function OLSXYb2(x,y,Period)
> > // y = dependent var
> > {
> > global RSq;
> >
> > SumX=Sum(x,Period);
> > SumY=Sum(y,Period);
> > CombSum=Sum(x*y,Period);
> > SumSqX=Sum(x^2,period);
> > SumXSq=Sum(x,period)^2;
> >
> >
> > b2=(period*CombSum-SumX*SumY)/(period*SumSqX-SumXSq);
> > //b2=OLS-beta
> > Rsq=Correlation(x,y,Period)^2;
> >
> > return b2;
> > }
> >
> > Unfortunately, this only applies to 1 independent variable, and
> > you'll need to find out yourself how to expand it to 2 independent
> > variables, i.e. to regress y over x and z.
> >
> > 2) You then need to calculate and further manipulate the OLS error
> > terms. One approach is to use the Augmented Dickey Fuller (ADF) stat.
> >
> > Again, a hint:
> >
> > ADFResErr = OLSXY(P1, P2, LBPer);
> > n = 0;
> > ADFOLSErr[0]=0;
> > while (n<LBPer)
> > {
> > ADFOLSErr = Ref(P2,-n)-SelectedValue(OLSb1) -
> > SelectedValue(OLSb2)*Ref(P1,-n);
> > n = n+1;
> > }
> > etmin1 = Ref(ADFOLSErr,-1);
> > etmin2 = Ref(ADFOLSErr,-2);
> > ResChange = ADFOLSErr - etmin1;
> > Lag1ResCh = Ref(ResChange,-1);
> > Lag2ResCh = Ref(ResChange,-2);
> > Cointgr = OLSXYZ(ResChange,
> > etmin1,Lag1ResCh,LBPer);
> > tau = tvalueb3;
> > . . . .
> >
> > FWIW, too many investors are now looking at pair-trading via coint,
> > i.e. it has largely been arbitraged away. Most succesful hedge funds
> > use way more advanced strategies.
> >
> > PS
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "john_dxd_smith"
> > <john_dxd_smith@> wrote:
> > >
> > >
> > > Hi,
> > >
> > > I understand cointegration, not correlation, is used to rank stocks
> > to
> > > find "pair trade" candidates.
> > > I read a lot of papers I found googling but they are all too
> > technical
> > > and way over my head.
> > >
> > > I'm only interested in a very basic/primitive textbook-case approach
> > > among many variants actually used by hedge funds.
> > >
> > > How do I go about creating cointegration matrix ?
> > > Is it doable with AmiBroker ?
> > > If not, are there any statistical/math softwares for non-quants to
> > > create the matrix ?
> > >
> > > Thank you in advance.
> > >
> > > best regards,
> > > dxd
> > >
> >
>
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