Pairs Trading Strategy
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.
Cite As
tadeveloper (2026). Pairs Trading Strategy (https://www.mathworks.com/matlabcentral/fileexchange/41540-pairs-trading-strategy), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
- Computational Finance > Datafeed Toolbox > Financial Data > Transaction Cost Analysis >
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| Version | Published | Release Notes | |
|---|---|---|---|
| 1.0.0.0 |
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