|
PureBytes Links
Trading Reference Links
|
Hi,
I was thinking you could have a system using rotational trading which
trades pairs with highest absolute value of correlation
(score=abs(correlate(a,b)) and then calculate the coefficients of the
pair using the linear fitting function y=a x+ b which comes with AB.
One way to do it it would be to create a ticker for each pair
correlation so you can rank them at each bar, or send data to an
external statistical software to calculate the correlation matrix and
extract the highest absolute value entries.
Backtesting at portfolio level a list of symbols would allow you to
automatically identify best pairs and coefficients bar by bar.
High linear correlation imply a relation like y=a x+b but from a
rigorous statistical point of view I am not sure it is really
equivalent to co-integration test,and in any case it just works for
pair and not for n symbols cointegration, so the best way to identify
pair or n-vectors would still be to run some real co-integration test.
Merci
Ly
--- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@xxx> wrote:
>
>
> Hello,
>
> for more clarification, please see a JPEG of an AA results of a pair
> trading strategy, stored in http://www.savefile.com/files/1989358.
>
> My problem is to let Amibroker know that trades in this example are
> not six but just three.
>
> And ? for example ? as for the first two lines: I don't have a trade1
> losing 2,70% and trade2 gaining 3,50% BUT just ONE SINGLE trade
> gaining 0.80%.
>
> For Jan: I see the logic of your solution, but ? seems to me ? you are
> losing all the statistic expressed in dollar value (Total profit,
> drawdown? )?
> Unfortunately, ? as of today ? my only idea would be to export the
> trade list to Excel and manipulate the data there (but quite frankly,
> I'd have to manipulate them by hand?. because being a trader and not a
> programmer I'm not so sure on my ability to write the correct routine
> using VBA? so this is not the ultimate solution neither).
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|