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hello everyone,
I have a formula for pairs trading that I would like to use to back test some ideas and would like to know if esignal supports it, or if anyone has programmed it. It is as follows:
normalized divergence = the absolute difference between the pairs - the ten day moving average of the difference between the pairs/ the ten day standard deviation of the difference. This divergence would then be graphed using the standard deviations.
This could possibly provide trading opportunities between pairs.
Thanks for your help and I look forward to your feedback.
imrockin'
I have a formula for pairs trading that I would like to use to back test some ideas and would like to know if esignal supports it, or if anyone has programmed it. It is as follows:
normalized divergence = the absolute difference between the pairs - the ten day moving average of the difference between the pairs/ the ten day standard deviation of the difference. This divergence would then be graphed using the standard deviations.
This could possibly provide trading opportunities between pairs.
Thanks for your help and I look forward to your feedback.
imrockin'