pairs trading matlab

alecase

Newbie
1 0
Good Morning I watched the pairs trading webminar. I would like to ask if anyone can give me some information about the operation of certain parts of the code.

Is regression implemented in this part?

% The strategy: % 1 Compute residuals over next N days res = series2 (i: i + N-1, 1) ... - (Reg1.coeff (1) + reg1.coeff (2). * Series2 (i: i + N-1, 2));

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I am also not clear about this part:
% 2 If the residuals are large and positive, then the first series % Is Likely to decline vs. the second series. Short the first % Series by a scaled number of shares and long the second series by 1% share. If the residuals are large and negative, do the % Opposite.

indicated (i: i + N-1) = res / reg1.RMSE;
s (i: i + N-1, 2) = (res / reg1.RMSE> spread) ...
- (Res / reg1.RMSE <-spread);
s (i: i + N-1, 1) = -reg1.coeff (2). * s (i: i + N-1, 2);
end
end
Thank you for your concern and time. Best regards
 
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