Hi,
Could you explain what does it mean if the date is 734548.554861111 in Access file? In other words, what is year,month,date,hour,minutes,second?
Thank you so much.
Stuart, I am having problems with downloading the intra-day data from the access db. I receive the error "??? Undefined function or method 'getMinuteDataFromDB' for input arguments of type 'char'."
Is there anyway to fix this?
I do not think there is a forward bias, but it indeed is a kind of curve-fitting based on historical data. I did simulated trading based on this strategy on a daily and intra-day basis, and it has been a losing one.
Please be aware that this demo is not representative of what is achievable in reality. The demo has look ahead bias as it looks at future data to determine the trading signal to use on that data.
See pairs.m "Compute residuals over the next N days"
Comment only