I ran the following backtest:
https://www.pairtradinglab.com/analyses/Zkana__HjWHLoZhsTon of information here. I’m new to equity pair trading, as forex is naturally pair trading, and have been reading a few of the academic papers. I even implemented my own model.
I have a few questions about the analyzer and backtester:
1) how do I recreate my trades to perform like the back tester, in terms of entries, exits spanning both profit taking and stop-losses?
2) for the residual model that is analyzed and backtested, if I understand the Wiki, I believe it’s the relationship between the price of stock of A and the price of stock b. Is that correct? From the pair trading literature I’ve , I thought it was better to regress the natural lot of the change in prices across the two pairs, eg in Excel: ln(stockA_price_t / stockA_price_t-1) and then do the same for stock B, then run OLS via Linest. Can I recreate the residual model to be similar?
3) is there documentation that walks through examples of the analyzer or the backtester to understand all of the information provided?
