Pairs Trading Strategy
This demo uses MATLAB and the Technical Analysis (TA) Developer Toolbox (http://www.tadeveloper.com) to develop and backtest a pairs trading strategy. In particular, it is shown how a statistical arbitrage model can be created and backtested over a period of 10 years of historical data. The performace of the model is evaluated and a parameter sweep is performed. The resulting trading strategy is easily adaptable to any other pair of correlated financial instruments.
인용 양식
tadeveloper (2024). Pairs Trading Strategy (https://www.mathworks.com/matlabcentral/fileexchange/41540-pairs-trading-strategy), MATLAB Central File Exchange. 검색됨 .
MATLAB 릴리스 호환 정보
플랫폼 호환성
Windows macOS Linux카테고리
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
- Computational Finance > Datafeed Toolbox > Financial Data > Transaction Cost Analysis >
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버전 | 게시됨 | 릴리스 정보 | |
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1.0.0.0 |