Classical Pairs Trading Using MatLab Matlab script

Publisher review:
Classical Pairs Trading Using MatLab performs the classical pairs trading strategy over a matrix of n stocks. This function performs the classical pairs trading framework over a matrix of prices using MATLAB. The basic idea of pairs trading is to take advantage of market mean reversion behavior in order to make profit out of short and long positions.

More details about this type of quantitative trading strategy can be found at the word document in the zip file. This function will calculate the total raw and excessive return for each type of trade and also the total with input parameters d,window,t and ut.
Operating system:
Windows / Linux / Mac OS / BSD / Solaris

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