PairTrading: classical pair trading based on cointegration in finance

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<shinichi.takayanagi@gmail.com>, Kohta Ishikawa<quantumcorgi@gmail.com>
License
BSD
Version
1.1

View on R-Forge

Man pages

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

Files in this package

PairTrading
PairTrading/data
PairTrading/data/stock.price.rda
PairTrading/R
PairTrading/R/Cointegration.R
PairTrading/R/Signal.R
PairTrading/R/PairTrading.R
PairTrading/R/Examples
PairTrading/R/Examples/Example-1.R
PairTrading/NAMESPACE
PairTrading/inst
PairTrading/inst/doc
PairTrading/inst/doc/IntroductionToPairTrading.pdf
PairTrading/DESCRIPTION
PairTrading/man
PairTrading/man/PairTrading-package.Rd
PairTrading/man/Simple.Rd
PairTrading/man/EstimateParametersHistorically.Rd
PairTrading/man/IsStationary.Rd
PairTrading/man/stock.price.Rd
PairTrading/man/EstimateParameters.Rd
PairTrading/man/Return.Rd