Author Topic: How to trade like backtest  (Read 295 times)

Christopher Jacoby

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How to trade like backtest
« on: May 16, 2024, 09:15:20 pm »
I ran the following backtest:

Ton 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?