pairs trading strategy

A

alecase

Good morning everyone

I'm Implementing a pairs trading strategy for my thesis.
I would like to know if anyone can tell me what kind of transaction costs I need to consider.

I would like to know if anyone has tried to create a stop-loss algorithm and on what criteria it has developed.

I also could not understand how the final return is Calculated in this part of the code. r4 is the total return vector

'series' Represents the prices of companies.

Specifically I'd like to learn the reason of the division of the sum (r4) to the mean ..

(', num2str (sum (r4) / mean (Series2 (1,: ) * 100,3),'%) '])

thank you so much for your time and cooperation,

regards
 
commission fees, market data fees, trading platform fees, taxes... have you traded live before?

stop-loss algo can be as simple as a loss target.

not sure what you are trying to achieve with the code. are you a phd student?
 
alecase said:
Good morning everyone

I'm Implementing a pairs trading strategy for my thesis.
I would like to know if anyone can tell me what kind of transaction costs I need to consider.

I would like to know if anyone has tried to create a stop-loss algorithm and on what criteria it has developed.

I also could not understand how the final return is Calculated in this part of the code. r4 is the total return vector

'series' Represents the prices of companies.

Specifically I'd like to learn the reason of the division of the sum (r4) to the mean ..

(', num2str (sum (r4) / mean (Series2 (1,: ) * 100,3),'%) '])

thank you so much for your time and cooperation,

regards
More...

Without looking at the full code, could it be the author is trying to calculate return on capital required (i.e. the avg price of the stocks used in the trade) ?
 
first of all thank you for your cooperation


I've never done live trading, on average, as they can "weigh" these transaction costs:

commission fees,

market data fees,

trading platform fees,

taxes


the code is this:

xlabel (['Final Return =', num2str (sum (r4), 3), '(', num2str (sum (r4) / mean (Series2 (1,: ) * 100,3), '%)'] )


the part that I do not understand is: (sum (r4) / mean (Series2 (1, : ) * 100.3)

I do not know what it financially means..



I am a masters student


thanks again

regards
 
You must log in or register to reply here.
Back
Top