Pair Trading Lab Helpdesk & Forum

Pair Trading Lab => Questions & Answers => Topic started by: Richard Cooper on April 03, 2014, 02:25:17 pm

Title: quick question on terms
Post by: Richard Cooper on April 03, 2014, 02:25:17 pm

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.

Title: Re: quick question on terms
Post by: admin on April 05, 2014, 11:39:30 am

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  ;)