Pairs Trading Strategy

Version 1.0.0.0 (126 KB) von tadeveloper
A pairs trading strategy implemented in MATLAB.
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Aktualisiert 29. Apr 2013

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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.

Zitieren als

tadeveloper (2024). Pairs Trading Strategy (https://www.mathworks.com/matlabcentral/fileexchange/41540-pairs-trading-strategy), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2012b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux

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Version Veröffentlicht Versionshinweise
1.0.0.0