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PureBytes Links
Trading Reference Links
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--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi Angelo --
>
> Your wrote:
> "for more clarification, please see a JPEG of an AA results of a pair
> trading strategy, stored in http://www.savefile.com/files/1989358.";
>
> That link seems to be broken.
>
> Thanks,
> Howard
>
>
Hi Howard,
glad you jumped in, eagerly awaiting your new book :).
Try this link: http://www.filedropper.com/ambpairtrading_1
In short: I created a very basic pair system based on TJ code posted
in this list: UC_5 and BIN_5 are the two legs of the pair and are
enclosed in a watchlist.
On 2009/01/30, first trade is opened at 10:05 and closed at 12:50.
Amibroker treat this as two distinct trades, and so
- all statistics based on number/outcome of trades are misleading ( %
winners, avg profit%, avgloss % etc... );
- it is really difficult (at least for myself) to correctly manage the
position.... for example as of today I'm not able to test a simple
"Exit target if there's a 1% profit from the combined position
(example: 2% prof on long leg, and 1% loss on short leg)".
Let me know if you need further details, resolving this issue should
put Amibroker well ahead of competition in testing pair trading systems.
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