Fw: [amibroker] Re: PairTrading on Amibroker

["Huanyan" <huanyan2000@xxxxxxxxx>]

And what is "R", is it some other software ?

 

When backtesting pairs trading in Amibroker, one problem is that you can only get entry-exit of one leg in the pair, anyone know if it is  possible to get entry-exit price of both the long & short position ?

 

Huanyan

 

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

From: Steve Davis

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, January 13, 2009 3:58 AM

Subject: [amibroker] Re: PairTrading on Amibroker

What do you mean by "n-vectors"?

--- In amibroker@xxxxxxxxxps.com, "loveyourenemynow"
<loveyourenemynow@...> wrote:
>
> u can use foreign to get different symbols quotes and correlate to
> calculate correlation
> if u really want to do a good job u needto run cointegration tests, so
> u can find n-vectors not just pairs, but to do that u ll need
> something like R
>
>
> --- In amibroker@xxxxxxxxxps.com, "nunopires2001" <nunopires2001@>
> wrote:
> >
> > Hi,
> >
> > I would like to use Amibroker, to help me detect stocks suitable for a
> > PairsTrading Strategy.
> >
> > In order to do that, just for start, i would like to calculate spreads
> > and correlation between stocks.
> >
> > Anyone can point me some directions?
> >
> > Thanks!
> >
>

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