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                                                   Pair Trading Strategy would be nice!

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Aris David
2010-11-05 16:01:57


Hi,

First of all thank you for all the generous efforts in producing this software. I must say it is one of the best user-friendly trading tool I have ever come across.

Second, I would like to suggest a backtesting strategy that utilises a pair trading strategy like correlation or cointegration.

Finally, thank you! what a fantastic tool!

Aris



QuantShare
2010-11-06 03:47:54



A pair trading strategy can be implemented using the money management tool.

How exactly you want the strategy to work?



Husain
2010-11-10 12:24:27



any progress on this ? I would be interested in an example as well


QuantShare
2010-11-10 12:29:54



Hi Husain,

I am waiting for Aris's answer to my question.



Husain
2010-11-10 18:01:53



How about a spread between 2 symbols ( GDX-GLD) specified and if the value (current/last value) goes beyond 2 std deviations( closing prices ) you buy/sell the spread ?


QuantShare
2010-11-11 04:51:46



Here is an example of a pairs trading system:
Pairs Trading Strategy





Pairs Trading Strategy (by QuantShare, uploaded several months ago)
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Husain
2010-11-11 16:47:07



I cant seem to be getting the multiple pairs running ..

I enter pair1A|Pair1B ; Pair2A|Pairs2B ; Pair3A|Pair3B

it works for Pair1 and Pair2 and then it gives me an error in formula . Can you check why its doing that ?




QuantShare
2010-11-12 02:38:03



You should use "," instead of ";".
Semi-colons should be used in the optimize field.



Aris David
2010-11-14 07:25:20



Wow thanks for sharing this mate...I'll try it now...

I actually have a pair trading strategy of my own using cointegration framework, here is a free tool from my blog..

http://arisdavid.wordpress.com/2010/11/01/demo-matlabyahoo-api-cointegration-and-mean-reversion/




QuantShare
2010-11-15 06:21:19



Very interesting Aris. Thank you for sharing this tool.


Husain
2010-11-16 16:41:26



Yes I am talking about the optimize field itself.


QuantShare
2010-11-17 04:49:50



We will check this issue


QuantShare
2010-12-01 05:34:00



This issue is fixed now. Thank you for reporting it.


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