Pairs trading algorithm problem
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Hello everyone. I have to implement an algorithm on matlab, but I have no idea how to do this. It's just the first step, but to realize how to move on it's enough. Can someone help me?
Long primary and short secondary asset
Enter a long position in the primary asset and a short position in the secondary asset at a market opening, when z-score of the daily differences falls below -1.5 at the previous market close. Hold both positions as long as the z-score remains below -0.5 and close both positions at the end of the signaled trading day.
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