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Pairs_Trading

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Implementation of a Multiple Pairs Trading Strategy in R

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Name		Name	Last commit message	Last commit date
CurrencyPair.R		CurrencyPair.R
MeanReversionStrategy.R		MeanReversionStrategy.R
Portfolio.R		Portfolio.R
README.md		README.md
config.R		config.R
demo.R		demo.R
functions.R		functions.R

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Pairs_Trading

Tested with daily data from 2008-2014 of the major currency pairs

Used in Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies

About

Implementation of a Multiple Pairs Trading Strategy in R

5 stars

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