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PairTrading

classical pair trading based on cointegration in finance
Shinichi Takayanagi, Kohta Ishikawa
BSD
This package gives classical trading strategy called "Pair trading" to you. you can easily specify pairs for trading and do back-test by this package. It's based on cointegration. Cointegration is a statistical feature of time series proposed by Engle and Granger.
Versions
Package Version Released
PairTrading 1.1 2 years 30 weeks ago
PairTrading 1.0 3 years 4 days ago
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