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.
|Author||Shinichi Takayanagi, Kohta Ishikawa|
|Date of publication||None|
|Maintainer||Shinichi Takayanagi<firstname.lastname@example.org>, Kohta Ishikawa<email@example.com>|
EstimateParameters: Estimate parameters at any point.
EstimateParametersHistorically: Estimate parameters historicall for back test.
IsStationary: Check the stationarity of time series (spread)
PairTrading-package: Classical pair trading methods based on cointegration...
Return: Calculate return of back-test
Simple: Create trading Signal
stock.price: sample stock price data