PairsBacktest: Pairs Backtest

In Texas-UCF/quantkit: Quantitative analysis for financial markets

Description

Pairs Backtest

Usage

PairsBacktest(ticker1, ticker2, capital = 1e+05, threshold = 1.5,
  startTrain = Sys.Date() - 365 * 2, endTrain = Sys.Date() - 365,
  startTest = Sys.Date() - 365, endTest = Sys.Date())

Arguments

ticker1	First equity ticker
ticker2	Second equity ticker
capital	Starting cash
startTrain	Beginning of correlation training period
endTrain	End of correlation training period
startTest	Beginning of backtest period
endTest	End of backtest period

Value

vector of account values

Texas-UCF/quantkit documentation built on May 9, 2019, 4:26 p.m.