Pairs Trading Strategy

バージョン 1.0.0.0 (126 KB) 作成者: tadeveloper
A pairs trading strategy implemented in MATLAB.
0.0
(0)
ダウンロード: 3.4K
更新 2013/4/29

ライセンスの表示

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.

引用

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

MATLAB リリースの互換性
作成: R2012b
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

html/

バージョン 公開済み リリース ノート
1.0.0.0