Calculation models
Calculation models
The following calculation models are implemented in Stock Pair Trading program:
- RATIO - basic model based on prices ratio
- RESIDUAL - advanced model based on prices co-integration
- LOGRESIDUAL - advanced model based on co-integration of logarithm values of prices
Download
Download results of backtest for27,000 pairs:
Backtests were performed using Stock Pair Builder program with settings that is provided in the table header.
Click here to display summary of individual computation models performance.