[amibroker] Re: Pairs trading. how back test it

["Paolo Cavatore" <pcavatore@xxxxxxxxx>]

I would create a watchlist including the 2 tickers you need to 
backtest and then run a "portfolio" backtest rather than individual.

SetOption("MaxOpenPositions", 2 );
PositionSize = -50;

btw there should be a more systematic way to backtest all the pairs 
combinations...

ciao,

paolo

--- In amibroker@xxxxxxxxxxxxxxx, "blackblame" <blackblame@xxx> wrote:
>
> add these lines of code but solb.br still don't appear at he back 
test
> 
> 
> 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;
> 
> 
> Ticker1 = "RHA.PA";
> Ticker2 = "SOLB.BR";
> 
> 
> if (Name()== Ticker1)
> {
> Buy=Compra;
> Sell=C;
> Short=Vendi;
> Cover=C;
> 
> }
> else if (Name()==Ticker2)
> {
> Buy=Vendi;
> Sell=C;
> Short=Compra;
> Cover=C;
> 
> }
> 
> SetPositionSize(10000,spsValue);
>



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