[R-SIG-Finance] Quantstrat pair trade

G See gsee000 at gmail.com
Mon May 9 23:27:35 CEST 2011


Thank you, that does appear to work.  However, I think I have gotten a much
cleaner version working.  The attached version also uses a hedge ratio equal
to the ratio of the two stock prices instead of trading them 1 to 1.

How does it look?  Thanks again for taking an interest!


On Mon, May 9, 2011 at 4:09 PM, soren wilkening <me at censix.com> wrote:

> Hi Garrett
> I managed to get your example to run smoothly. Have a look to see if it
> still does what you wanted it to do. If not, you only need to re-adapt the
> indicator (sigCrossing) or the rule definition slighlty. (too tired to
> check
> myself now)
> Cheers
> Soren
> http://r.789695.n4.nabble.com/file/n3510338/quantstrat_pair_trade_-_FIX01-somehowfunctional2.r
> quantstrat_pair_trade_-_FIX01-somehowfunctional2.r
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