www.r-project.org/ i think somebody has also developed a AB R plugin
n-vector means it is not only a pair, but a system of n securities which are co-integrated --- In [email protected], "Huanyan" <huanyan2...@...> wrote: > > 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" > <loveyourenemynow@> 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! > > > > > >
