Matlab Pairs trading
Posted: October 7th, 2014, 1:36 pm
Good morning everyone I saw a pairs trading webinar on the topic and found this code. I can not understand these two pieces of code, anyone is kind enough to explain % The strategy: % 1 Compute residuals over next N days res = series2 (i: i + N-1, 1) ... - (Reg1.coeff (1) + reg1.coeff (2). * Series2 (i: i + N-1, 2)); % 2 If the residuals are large and positive, then the first series % Is Likely to decline vs. the second series. Short the first % Series by a scaled number of shares and long the second series by 1% share. If the residuals are large and negative, do the % Opposite. indicated (i: i + N-1) = res / reg1.RMSE; s (i: i + N-1, 2) = (res / reg1.RMSE> spread) ... - (Res / reg1.RMSE <-spread); s (i: i + N-1, 1) = -reg1.coeff (2). * s (i: i + N-1, 2); end end Thank you very much for your cooperationps do you know where I can find some code on the pairs trading?