HedgeRatioOLS: Hedge Ratio OLS
In ivanliu1989/RQuantTrader: A collection of functions for pair trading

Calculate Hedge Ratio by using OLS

1	HedgeRatioOLS(y, x, add_const = TRUE)

`y`	long series
`x`	short series
`add_const`	keep constant (risk free profits) or not

alpha < 0 too little returns based on the risks

alpha = 0 adequate returns for the risks taken

alpha > 0 excess returns to the assumed risks

beta correlated relative volatile

A list of hedge ratio (beta, risk) and alpha (risk free profits)

1
2
3

getFX("AUD/USD")
getFX("CAD/USD")
HedgeRatioOLS(AUDUSD, CADUSD)

ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.

ivanliu1989/RQuantTrader index

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