Pairs Trading Strategy

バージョン (126 KB) 作成者: tadeveloper
A pairs trading strategy implemented in MATLAB.
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更新 2013/4/29


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.


tadeveloper (2024). Pairs Trading Strategy (, MATLAB Central File Exchange. 取得済み .

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