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已更新 SpreadTrade - Correlation
Correlation Based Pair Trading Strategy (Trading the spread)
There are three popular styles of Pair trading:
* Distance based pair trading
* Correlation based pair trading
* Cointegration based pair trading
The correlation based strategy is to short the outperforming instrument and go long on the underperforming one
whenever the temporary correlation weakens which means one instrument going up and another going down.
Here, instead of two different instruments two timeframes of the same instrument are used, lower and higher.
In order to calculate the trade size, we would need to calculate hedge_ratio,
which is simply the ratio of the closing price of the instrument in the current tf to the higher tf.
So whenever we want to go short on spread we’ll short 1 unit of current tf and go long on hedge ratio times units of higher tf.
In order to generate trading signals, we need to define our trading logic.
So, we’ll go long on the spread when the hedge ratio goes below its p rolling mean by mult times of its
rolling standard deviation and vice versa.
Note that both p and mult can be changed as per your selection of instruments.
See: analyticsprofile.com/algo-trading/pair-trading-part-2-code-correlation-based-pair-trading-strategy-in-r/
NOTE:
There is a minor problem to it in Pinescript. After a while the signal line goes horizontal and the two bounds, upper and lower, converge unless you update the time frame.
Kepp me in the know if you find a solution to this problem)
There are three popular styles of Pair trading:
* Distance based pair trading
* Correlation based pair trading
* Cointegration based pair trading
The correlation based strategy is to short the outperforming instrument and go long on the underperforming one
whenever the temporary correlation weakens which means one instrument going up and another going down.
Here, instead of two different instruments two timeframes of the same instrument are used, lower and higher.
In order to calculate the trade size, we would need to calculate hedge_ratio,
which is simply the ratio of the closing price of the instrument in the current tf to the higher tf.
So whenever we want to go short on spread we’ll short 1 unit of current tf and go long on hedge ratio times units of higher tf.
In order to generate trading signals, we need to define our trading logic.
So, we’ll go long on the spread when the hedge ratio goes below its p rolling mean by mult times of its
rolling standard deviation and vice versa.
Note that both p and mult can be changed as per your selection of instruments.
See: analyticsprofile.com/algo-trading/pair-trading-part-2-code-correlation-based-pair-trading-strategy-in-r/
NOTE:
There is a minor problem to it in Pinescript. After a while the signal line goes horizontal and the two bounds, upper and lower, converge unless you update the time frame.
Kepp me in the know if you find a solution to this problem)
版本注释
Correlation Based Pair Trading Strategy (Trading the spread) There are three popular styles of Pair trading:
* Distance based pair trading
* Correlation based pair trading
* Cointegration based pair trading
The correlation based strategy is to short the outperforming instrument and go long on the underperforming one
whenever the temporary correlation weakens which means one instrument going up and another going down.
Here, instead of two different instruments two timeframes of the same instrument are used, lower and higher.
In order to calculate the trade size, we would need to calculate hedge_ratio,
which is simply the ratio of the closing price of the instrument in the current tf to the higher tf.
So whenever we want to go short on spread we’ll short 1 unit of current tf and go long on hedge ratio times units of higher tf.
In order to generate trading signals, we need to define our trading logic.
So, we’ll go long on the spread when the hedge ratio goes below its p rolling mean by mult times of its
rolling standard deviation and vice versa.
Note that both p and mult, as well as tf, can be changed as per your selection of instruments.
See: analyticsprofile.com/algo-trading/pair-trading-part-2-code-correlation-based-pair-trading-strategy-in-r/
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开源脚本
本着TradingView的真正精神，此脚本的创建者将其开源，以便交易者可以查看和验证其功能。向作者致敬！虽然您可以免费使用它，但请记住，重新发布代码必须遵守我们的网站规则。
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。