searchCointegratedPairsOanda: Search Cointegrated FX Pairs via Oanda API

In ivanliu1989/RQuantTrader: A collection of functions for pair trading

Description

Search Cointegrated FX Pairs via Oanda API

Usage

searchCointegratedPairsOanda(total_points = 500, testPeriod = 0.25,
  INSTRUMENTS, dir = "~/analytics/common/cointegration/")

Arguments

total_points	Total data points to lookback (e.g. days)
testPeriod	proportion of data points to be testing set
INSTRUMENTS	a list of available FX instruments
dir	directory to save the output

See Also

JohansenCointegrationTest

AugmentedDickeyFullerTest

Examples

INSTRUMENTS = readRDS('~/analytics/common/OANDA_FX_INSTRUMENTS.rds')
res = searchCointegratedPairsOanda(total_points = 500, testPeriod = 0.25, INSTRUMENTS = INSTRUMENTS, dir = "~/analytics/common/cointegration/")
res$res
res$path

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