[R-SIG-Finance] PairTrading package

Fri Sep 25 21:27:26 CEST 2020

I'm trying to reproduce the results described in
 https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/inst/doc/IntroductionToPairTrading.pdf?revision=6&root=pairtrading&pathrev=6 [1]
(and in  https://www.r-bloggers.com/2011/10/pair-trading-strategy-how-to-use-pairtrading-package/)

I have some minor differences, eg
in [1]:
adf.test(as.numeric(reg$spread)) Augmented Dickey-Fuller Test data: as.numeric(reg$spread) Dickey-Fuller = -3.6462, Lag order = 8, p-value = 0.02825
and I have: Dickey-Fuller = -3.4033, Lag order = 8, p-value = 0.05288

Also, the commands
barplot(signal,col="blue",space = 0, border = "blue",xaxt="n",yaxt="n",xlab="",ylab="")
par(new=TRUE)
plot(params$spread, type="l", col = "red",lwd = 3, main = "Spread & Signal")

create in my environment two separate plots (bar and line) rather than one with superimposed bar and line charts like in [1].

Most importantly, I have all returns 'NA':
 > return.pairtrading
           [,1]
2009-01-04   NA
2009-01-05   NA
2009-01-06   NA
2009-01-07   NA

even though the parameters for the function
return.pairtrading <- Return(price.pair, lag(signal), lag(params$hedge.ratio))
look reasonable.

Thanks! Alec
[https://www.r-bloggers.com/wp-content/uploads/2016/08/R_single_01-200-1.png]<https://www.r-bloggers.com/2011/10/pair-trading-strategy-how-to-use-pairtrading-package/>
Pair trading strategy : how to use 'PairTrading' package<https://www.r-bloggers.com/2011/10/pair-trading-strategy-how-to-use-pairtrading-package/>
Mr.Ishikawa(my old friend) and I developed "PairTrading" package, and uploaded it on CRAN.This article shows you how you can use it.The pair trading is a market neutral trading strategy and gives traders a chance to profit regardless of market conditions. The idea of this strategy is ...
www.r-bloggers.com

Introduction to Pair Trading -Based on Cointegration-<https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/inst/doc/IntroductionToPairTrading.pdf?revision=6&root=pairtrading&pathrev=6>
•Gerry Bamberger and Nunzio Tartaglia •Quantitative group at Morgan Stanley •Around 1980s •D.E. Shaw & Co. is famous for this strategy Pair trading was pioneered by … 4
r-forge.r-project.org

________________________________
From: Enrico Schumann <es using enricoschumann.net>
Sent: Tuesday, September 22, 2020 1:29 AM
To: Alec Schmidt <aschmid1 using stevens.edu>
Cc: Daniel Cegiełka <daniel.cegielka using gmail.com>; r-sig-finance using r-project.org <r-sig-finance using r-project.org>
Subject: Re: [R-SIG-Finance] PairTrading package

On Mon, 21 Sep 2020, Alec Schmidt writes:

> Daniel and Jasen, thanks much!
>
> Daniel, sorry, I'm on Windows PC, so I used dir instead of ls and I do see PairTrading but your command
> R CMD INSTALL PairTrading/ doesn't work:
>
> 'R' is not recognized as an internal or external command,operable program or batch file.
>
> Thanks again, Alec

It's more of a question for R-help, but:

If you follow the URL https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fcran.r-project.org%2Fpackage%3DPairTrading&data=02%7C01%7Caschmid1%40stevens.edu%7Cc6a153bd55104ef7910208d85eb87a52%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637363493716373736&sdata=bsmkUniLSnS6ofp73MaG0DYToVii7VEZbzIgzZcAjR8%3D&reserved=0 ,
you'll find that the package has been archived. You can still follow the
archive link, download the package and then install (on Windows) from
the R-GUI by selecting "install from local files" in the packages menu.
(Keep in mind that packages are archived for a reason, usually.)

If you want to try Daniel's suggestion: That 'R' is not found tells you
it's not in the search path.  You can set it on Windows in the
system/environment variable settings; just add 'C:/Program Files/R
<....>/bin ' (or whereever R is installed on your system) to the path.

kind regards
    Enrico

> ________________________________
> From: Daniel Cegiełka <daniel.cegielka using gmail.com>
> Sent: Monday, September 21, 2020 5:01 PM
> To: Alec Schmidt <aschmid1 using stevens.edu>
> Cc: r-sig-finance using r-project.org <r-sig-finance using r-project.org>
> Subject: Re: [R-SIG-Finance] PairTrading package
>
> Hi Alec,
>
> $ R --version
> R version 4.0.0 (2020-04-24) -- "Arbor Day"
> Copyright (C) 2020 The R Foundation for Statistical Computing
> Platform: x86_64-apple-darwin17.0 (64-bit)
>
> R is free software and comes with ABSOLUTELY NO WARRANTY.
> You are welcome to redistribute it under the terms of the
> GNU General Public License versions 2 or 3.
> For more information about these matters see
> https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.gnu.org%2Flicenses%2F&data=02%7C01%7Caschmid1%40stevens.edu%7Cc6a153bd55104ef7910208d85eb87a52%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637363493716383730&sdata=55EEnTvuJH429ccclZvkkx1%2BWWejUD5Qy2b17UzGAis%3D&reserved=0.
>
> $ git clone
> https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2Fcran%2FPairTrading&data=02%7C01%7Caschmid1%40stevens.edu%7Cc6a153bd55104ef7910208d85eb87a52%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637363493716383730&sdata=erwDXdwA44XFD93I1vBXTtmm819Mb9PUQvGvo0kdm%2FM%3D&reserved=0
> Cloning into 'PairTrading'...
> remote: Enumerating objects: 39, done.
> remote: Counting objects: 100% (39/39), done.
> remote: Compressing objects: 100% (24/24), done.
> remote: Total 39 (delta 11), reused 39 (delta 11), pack-reused 0
> Unpacking objects: 100% (39/39), done.
>
> $ ls
> PairTrading
>
> $ R CMD INSTALL PairTrading/
> * installing to library ‘/Library/Frameworks/R.framework/Versions/4.0/Resources/library’
> * installing *source* package ‘PairTrading’ ...
>
> (…)
>
> ** building package indices
> ** testing if installed package can be loaded from temporary location
> ** testing if installed package can be loaded from final location
> ** testing if installed package keeps a record of temporary installation path
> * DONE (PairTrading)
>
>
> Best regards,
> Daniel
>
>
>> On 21 Sep 2020, at 22:38, Alec Schmidt <aschmid1 using stevens.edu> wrote:
>>
>> I used to have R version 3.6.0 and tried to install PairTrading but got a message that the package is not available for that version.
>> Now I've updated R to 4.0.2. but still have the message:
>>
>> package �PairTrading� is not available (for R version 4.0.2)
>>
>> I wonder if anything can be done about it or there may be other packages with similar functionality.
>>
>> Thanks! Alec
>>

[...]

--
Enrico Schumann
Lucerne, Switzerland
https://nam02.safelinks.protection.outlook.com/?url=http%3A%2F%2Fenricoschumann.net%2F&data=02%7C01%7Caschmid1%40stevens.edu%7Cc6a153bd55104ef7910208d85eb87a52%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637363493716383730&sdata=sEkds70iDxr5HsNMuTycpt5bLSVl%2BA35S7GNbheGi7Y%3D&reserved=0

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