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Pairs Trading Strategy

MATLAB pairs trading strategy
PairsTradingStrategy(sys) Only execute on the primary symbol of the pair
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Pairs Trading Strategy

29 Apr 2013

A pairs trading strategy implemented in MATLAB.

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Description	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.
Required Products	MATLAB
MATLAB release	MATLAB 8.0 (R2012b)
Other requirements	TA Developer Toolbox

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Everyone's Tags	arbitrage(2), backtesting, computational finance, demo, finance, modeling, quant, trading
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Comments and Ratings (1)
20 May 2013	Mirko	Good idea and good work but this can only be run together with the Commercial solution offered by the author and is not a stand alone.