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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;
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