[R-SIG-Finance] How to test pairs trading strategy

[veepsirtt]

Please visit the link


http://webcache.googleusercontent.com/search?q=cache:2lWmiYG4KB4J:www.pairtradefinder.com/PTF_UserManual_v297.pdf+pair+trade+finder+mannual&cd=4&hl=en&ct=clnk&gl=in&source=www.google.co.in


in page 18
they say how the entry and exit signals are generated in PAIRTRADEFINDER
software

Using the default signal settings, trading signals are generated at 2.70
standard deviations from the 100 day mean average of the ratio, an exit
signal is generated when the pair goes past 1.00 standard deviations;
i.e.….its goes closer than 1 standard deviation to the mean. The current
reading on each pair is shown in the +/- column in the home page.
To analyse each pair further, you can select a pair in the home page then
click on the pair charts button.

How  could this be incorporated  in the quantstrat pair trader demo ?.

thanks
veepsirtt

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