classical pair trading based on cointegration in finance


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Documentation for package ‘PairTrading’ version 1.1

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PairTrading-package Classical pair trading methods based on cointegration analysis.
EstimateParameters Estimate parameters at any point.
EstimateParametersHistorically Estimate parameters historicall for back test.
IsStationary Check the stationarity of time series (especially spread)
PairTrading Classical pair trading methods based on cointegration analysis.
Return Calculate return of back-test
signal Create trading Signal
Simple Create trading Signal
stock.price sample stock price data