[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Pairs trading. how back test it



PureBytes Links

Trading Reference Links

Hi!! I'm studying (after years) an idea about pairs trading, and I
want to backtest the set foreign with other stocks. how can do it??I
tried with another set foreign but didn't work, it gave me th result
only for symbol that i chose on symbols window always and no trade on
SOLB.BR symbol.
Thank you


SetForeign("SOLB.BR"); 
yield2=100*log(Ref(O,-1)/Ref(C,-1));
RestorePriceArrays(); 
yield1=100*log(Ref(O,-1)/Ref(C,-1));


std1=StDev( yield1, 4 );
std2=StDev( yield2, 4 );


input1=IIf(yield1<std1*3,yield1/(3*std1),0);
input2=IIf(yield2<std2*3,yield2/(3*std2),0);
k=0.1;
Compra= input1<0 AND input2>0 AND abs(input1-input2 )>k;
Vendi=  input1>0 AND input2<0 AND abs(input1-input2 )>k;


// Example 2: Use SetForeign with Equity function 
SetForeign("SOLB.BR", True, True ); 

SetPositionSize( 10000, spsValue );
Buy = Vendi; 
Sell = C; 
Short= Compra;
Cover=C;
RestorePriceArrays( True );  

SetPositionSize( 10000, spsValue );
Buy=Compra;
Sell=C;
Short=Vendi;
Cover=C;


------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com
*********************

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html

*********************************
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/