newbie questions: Pairs trading and ex-Dividend?

Rationalize · Jul 17, 2011

Quote from losemind:

yeah, you said it... the thing is the backtest software doesn't handle dividend separately and knowingly, it only operates on the price series, therefore, I have to massage the price data before feeding into the backtest software(i.e. adjustments)

Agreed.

losemind · Jul 18, 2011

thanks vm to all but how to account for tax in dividend adjustment?

losemind · Jul 18, 2011

in pairs trading we have 2 assets. lets say now we have 3 assets moving together... how to generalize the pairs trading and do triangle trading? thx

Rationalize · Jul 18, 2011

Quote from losemind:

in pairs trading we have 2 assets. lets say now we have 3 assets moving together... how to generalize the pairs trading and do triangle trading? thx

You're asking the right questions..

Time to visit wilmott.com.

losemind · Jul 19, 2011

Quote from Rationalize:

You're asking the right questions..

Time to visit wilmott.com.

Thanks vm!
Ooops, I should have started a new thread because this is a completely different question... I will start a new thread...