Pair Trading Lab > Questions & Answers

Z-Score values shown in Trade-Log differ to calculated values

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admin:
About Google Finance - example here: https://finance.google.com/finance/historical?q=FRA:RWE  (note the Download to spreadsheet link)

The Z-score is calculated using the EOD close price. Bid-ask spread is simulated, too - but the difference will be negligible with 0.01 spread (you may disable the spread in backtest setting to be sure).

Marc Wengenroth:
Well, I don´t know how you got those prices at Google Finance but as soon as I type in a new stock value then the option to retrieve historical prices isn´t available no more.

I´ve read the Google changed a few things there.

admin:
They removed the link to download but it still works if you use the URL directly.

admin:
Example: http://finance.google.com/finance/historical?q=FRA:RWE&output=csv

Marc Wengenroth:
Great, it works...

Well, I compared the Yahoo daily close prices now to the ones from Google that your tool used and I cannot find any noticeable deviations. So the prices do net seem to be the cause for the differing Z-Score values.

You can find it attached.

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