Backtesting a Pairs Trading Strategy Using Futures Data | R
Автор: quantRoom
Загружено: 2020-11-07
Просмотров: 2199
I go over how to backtest a pairs trading strategy using futures contracts. This strategy involves trading 4 different contracts at a given time. We long the undervalued contract(s) and short the overvalued contract(s). In this backtest we find that the best return trades less often than the rest of the pairs. Since we are trading futures contracts that may be undesirable as we would have to hold multiple contracts for long periods of time which involves rolling over contracts in which may involve much more commissions and risk than we went over this tutorial. ** This video is for entertainment purposes only.
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GitHub: https://github.com/jgQuantScripts/Fut...
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email: jason.guevara.yt@gmail.com
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