Herman Thanks for the code. With repect to the correlation calculation, I noticed that in some days, not both symbols in one pair traded .Say A is traded and B is not traded on day one, and on day two B comes back and both symbols are traded, then symbol B tends to make up for what it has missed in the trading of day one. If this happens often, ( thinking of two stocks of the same company listed in exchanges of two different country ), will it affect the correlation calculated ?
Regards/ Huanyan ----- Original Message ----- From: Herman To: loveyourenemynow Sent: Tuesday, January 13, 2009 3:22 AM Subject: Re: [amibroker] Re: PairTrading on Amibroker You can also use the code on the UKB: http://www.amibroker.org/userkb/2007/04/24/creating-a-correlation-table/ herman Monday, January 12, 2009, 1:06:34 PM, you 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" <nunopires2...@...> > 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! > ------------------------------------ > **** 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 > http://groups.yahoo.com/group/amibroker/ > Individual Email | Traditional > http://groups.yahoo.com/group/amibroker/join > (Yahoo! ID required) > mailto:[email protected] > mailto:[email protected] > [email protected] > http://docs.yahoo.com/info/terms/
