Pair Trading Lab > Questions & Answers

quick question on terms

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Richard Cooper:
What is the meaning of 60 and 360 in the two historical correlations...is it days? How are they used and what do they refer to in a screen? thanks, Richard (new member). P.S. I think you are building a great site.

admin:
Yes, it is days (number of end-of-day close prices used for calculating the correlation).

So:

* avg correlation 60 - you calculate correlation(period=60) for each sample (day) and average over the whole interval (period)
* avg correlation 360 - you calculate correlation(period=360) for each sample (day) and average over the whole interval (period)
I hope it is more clear now.

P.S. Thanks  ;)

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