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Pairs Trading Strategy

version 1.0 (126 KB) by

A pairs trading strategy implemented in MATLAB.



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This demo uses MATLAB and the Technical Analysis (TA) Developer Toolbox ( 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.

Comments and Ratings (2)

lowrence fan

try it


Mirko (view profile)

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.

MATLAB Release
MATLAB 8.0 (R2012b)

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