Pairs Trading Strategy

버전 1.0.0.0 (126 KB) 작성자: tadeveloper
A pairs trading strategy implemented in MATLAB.
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업데이트 날짜: 2013/4/29

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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 .

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개발 환경: R2012b
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1.0.0.0