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PureBytes Links
Trading Reference Links
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www.r-project.org/
i think somebody has also developed a AB R plugin
n-vector means it is not only a pair, but a system of n securities
which are co-integrated
--- In amibroker@xxxxxxxxxxxxxxx, "Huanyan" <huanyan2000@xxx> wrote:
>
> 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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx, "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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