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

veepsirtt veepsirtt at gmail.com
Sat Jun 11 06:50:33 CEST 2011

Please visit the link


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

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 ?.


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