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Maybe you have already read this thread on ET bbs "Pair Trading
Strategy Journal "
http://www.elitetrader.com/vb/showthread.php?
s=&threadid=134253&perpage=20&pagenumber=2
The original poster use a thirst party product
http://www.pairtradefinder.com/ to find candidates for trade, seems
it works so far.
Since correlated companies are often in the same sector, the
correlations tend to last at least for some length of time into the
future, maybe one can first establish a list of tradable pairs from
informations provided by such third party products , imput them into
the watchlist of Amibroker, then monitor them by yourself and and
trade them over and over in the future.
just a random thought of mine
best regards/ Huanyan
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <mikelaurataylor@xxx> wrote:
>
> there have been a few other posts in the pasts about finding
> correlations for pairs and in the code put up people have created a
> nice grid type of output.
>
> i was unsuccessful at the logic of changing it and was hoping
someone
> could help.
>
> what i want to do is run through a watchlist and correlate each
stock
> in the list against the other (which is what the other programs did
> too) but then i only want to list out 3 columns in the output...
>
> 1. original ticker
> 2. foreign/other ticker
> 3. correlation
>
> and i only want this if they correlate at least 70% over the last x
> period, could be 252 days like in the other code.
>
> If anyone could provide me with a little guidance it would be
appreciated.
>
> thanks
>
> mike
>
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