Author Topic: quick question on terms  (Read 4508 times)

Richard Cooper

  • Newbie
  • *
  • Posts: 1
  • Karma: +0/-0
quick question on terms
« 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.

admin

  • Administrator
  • Sr. Member
  • *****
  • Posts: 338
  • Karma: +13/-0
    • Pair Trading Lab
Re: quick question on terms
« Reply #1 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  ;)