This demo shows how functionality within Econometric Toolbox can be used to identify and calibrate a simple, intraday pairs trading strategy. We will download intraday data for Brent Crude LCO from our database. We will also download data corresponding intraday West Texas Intermediate WTI. Econometrics Toolbox supports both the Engle-Granger and the Johansen cointegration frameworks. Engle-Granger trading the older model, and Johansen is particularly useful for analyzing more than two time series at a time. We will use Engle-Granger for our trading model. The test estimates the coefficients of the cointegrating regression strategy well as the residuals and the standard errors of the residuals: We strategy use our existing parameter sweep framework to identify the best combination of calibration window and rebalancing frequency. Despite the fact that these historically-tracking time series have diverged, we can still create a profitable pairs trading strategy by frequently recalibrating. This download contains the files used in the April 14, webinar titled Cointegration and Pairs Trading with Econometrics Toolbox. It is recomended that you watch the pairs of the. Run the command by entering it in the MATLAB Command Window. Web browsers do not support MATLAB commands. Choose your country to get translated content where available and see local events and offers. Based on intraday location, we recommend that you select: MathWorks is the leading developer of mathematical computing software for engineers and scientists. Log In Pairs Solutions Academia Support Community Events Contact Us How to Buy. Contact Us How to Buy Log In. Products Solutions Academia Support Community Events. Examples Home MATLAB Family Computational Finance Econometrics Toolbox Other. By Stuart Kozola Explore: Cointegration and Pairs Trading with Econometrics Toolbox This example also uses: Intraday Pairs trading This demo shows how functionality intraday Econometric Toolbox can be used to identify and calibrate a simple, intraday pairs trading strategy. CopyrightThe MathWorks, Inc. Contents Load intraday trading from a database The cointegration test framework The pairs trading strategy. Many other pairs can be made. Starting matlabpool using the 'local' configuration Elapsed strategy is Macro-economic stress testing trading MATLAB. Copyright cThe MathWorks, Inc. You clicked a link that corresponds to this MATLAB command: Select Your Country Choose your country to get translated content where available and see local events and offers. Americas Canada English United States English. Explore Products MATLAB Simulink Student Software Hardware Support File Exchange. Try or Buy Downloads Trial Software Contact Sales Pricing and Licensing. Learn to Use Documentation Tutorials Examples Videos and Webinars Training. Get Support Installation Help Answers Consulting License Center. About MathWorks Careers Newsroom Social Mission About MathWorks. MathWorks Accelerating the pace of engineering and science MathWorks is the leading developer of mathematical computing software for engineers and scientists.
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