Pairs Trading Strategy

A pairs trading strategy implemented in MATLAB.
3,4K download
Aggiornato 29 apr 2013

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This demo uses MATLAB and the Technical Analysis (TA) Developer Toolbox ( 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.

Cita come

tadeveloper (2024). Pairs Trading Strategy (, MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2012b
Compatibile con qualsiasi release
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