Code covered by the BSD License  

Highlights from
Cointegration and Pairs Trading with Econometrics Toolbox

image thumbnail

Cointegration and Pairs Trading with Econometrics Toolbox


Stuart Kozola (view profile)


Demo files from the webinar of same title.

function out = getMinuteDataFromDB(tableName)

% Copyright 2011, The MathWorks, Inc.
% All rights reserved.

% Set preferences with setdbprefs.
s.DataReturnFormat = 'numeric';
s.ErrorHandling = 'store';
s.NullNumberRead = 'NaN';
s.NullNumberWrite = 'NaN';
s.NullStringRead = 'null';
s.NullStringWrite = 'null';
s.JDBCDataSourceFile = '';
s.UseRegistryForSources = 'yes';
s.TempDirForRegistryOutput = 'C:\Temp';
s.DefaultRowPreFetch = '10000';

% Make connection to database.  Note that the password has been omitted.
% Using ODBC driver.
conn = database('Minute Bars','','password');

% Read data from database.
e = exec(conn,['SELECT ALL Dates,High,Low,Close FROM ' tableName]);
e = fetch(e);

% Assign data to output variable.
out = e.Data;

% Close database connection.

Contact us