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Pairs Trading Strategy

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Pairs Trading Strategy

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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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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.

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