Re[2]: [amibroker] Re: PairTrading on Amibroker, AmiBroker Email List Archive

Please see the help on System test settings window:

Pad and align to reference symbol

When this is turned on, all symbols' quotes are padded and aligned to reference symbol. Note: by default this setting is OFF. Use responsibly. It may slow down backtest/exploration/scan and introduce some slight changes to indicator values when your data has holes and holes are filled with previous bar data. The feature is intended to be used when your system uses general market timing (generates global signals based on data and/or indicators calculated using Foreign from 'reference' symbol) or when you are creating composites out of unaligned data. Note: if reference symbol does not exist, data won't be padded.

best regards,

herman

Thursday, January 15, 2009, 5:50:13 PM, you wrote:

Hi Herman

Not sure if I have get the meaning of "padded data".

Say two symbols in a pair are not traded in the same exchange, and since each exchange has its own trading calendar. So on some days , not both symbols are traded. If this thing happens a lot, then there will be a lot of padded data , and I guess if you export the data into excel and delete data of those days when only symbol is traded, you can have a more accurate correlation number . Is my understanding right ?

thanks / hunayan

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

From: Herman

To: Angelo

Sent: Thursday, January 15, 2009 11:27 PM

Subject: Re: [amibroker] Re: PairTrading on Amibroker

Hi Angelo,

this code is going back quite some time :-)

I think the problem was that if data holes are padded, i.e. they are filled with prices from the previous bar, the correlation calculation would be based on artificial data and not on data that was actually traded. This would only happen if you miss data within the correlation period.

Best regards,

herman

Thursday, January 15, 2009, 9:51:46 AM, you wrote:

> Hi Herman,

> I'm not able to get the "padded data"problem cited as a warning in

> http://www.amibroke r.org/userkb/2007/04/24/creating-a-correlation-table/

> Could you please add something on that?

> Thanks,

> Angelo.

> ------------------------------------

> **** IMPORTANT ****

> This group is for the discussion between users only.