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: [email protected] Sent: Tuesday, January 13, 2009 3:58 AM Subject: [amibroker] Re: PairTrading on Amibroker What do you mean by "n-vectors"? --- In [email protected], "loveyourenemynow" <loveyourenemy...@...> 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 [email protected], "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! > > >
