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Patrick,
Mark's book is titled Trading Pairs Capturing Profits and hedging
risk with Statistical Arbitrage Strategies is published by Wiley
2004. The book is a simple introduction to equity pairs trading. It
comes with a CD containing excel spreadsheets detailing his
approach. The book spends a fair amount of time teaching the reader
how to build a pairs spreadsheet model in excel. For the reader who
can remember stats class and is already familiar with pairs trading
the book is likely to be elementary. Since I never took statistics
and can't remember any calculus and freely admit to being a math
simpleton working through the examples in excel helped me to get a
good feeling for Marks trading style. Mark states his approach is
not a mechanical system but my exploration of his approach in excel
suggests with modest modification his approach might make a good
system. The problem is I have been a MetaStock user for the past 5
years and simply put there is no way in hell the current version of
MS can be set up to back test a pairs strategy. Let's not even
bother to mention the fact that MS doesn't offer portfolio level
back
testing. I also admit to being an AmiBroker coding simpleton; so as
you can see I have an uphill battle. If you would like I can email a
sample pairs spreadsheet detailing what I am hoping to create in
AmiBroker.
Jeremy
--- In amibroker@xxxxxxxxxxxxxxx, "NW Trader" <pk47hargus@xxxx> wrote:
> Hi Jeremy,
>
> I have done pairs trading as I understand the term (essentially an
arbitrage
> strategy), but am unfamiliar with Whistler's book -- can you add
some
> explanation or examples? I assume that you think the book is
worthwhile,
> hence your question. I'm always on the lookout for new reads for
my
> library so I'll try to find out something about the book as well,
but any
> fast review or comments on it would be of interest to me. As for
using AB,
> I'm not sure what you mean by this -- comparative charts based on
ROC or
> something else? An exploration for likely pairs to trade?
Or .... ????
>
> Peace and Justice --- Patrick
> ----- Original Message -----
> From: jeremy7827110028
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, June 29, 2005 8:00 AM
> Subject: [amibroker] Trading Pairs By Mark Whistler
>
>
> Hello all,
>
> Using Microsoft Excel I have been reviewing the pairs trading
> strategy
> outlined in Mark Whistlers Book Trading Pairs. Has anyone written
> any
> AmiBroker code for his strategy? I am also interested in hearing
> from
> anyone currently using AmiBroker for pairs trading.
>
> Thanks in advance,
>
> Jeremy
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