--- In [email protected], Howard B <howardba...@...> 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.
