Pairs Trading Analysis with R

Last Update: December, 2018

1. Course Objective

Learn Pairs Trading Analysis main topics using R statistical software® in this practical course for all knowledge levels. Feel free to take a look at Course Curriculum.

2. Skills Learned

At the end of this course you will know how to:

  • Identify single and multiple paired assets prices (fundamental factors).
  • Test single and multiple paired assets prices returns short-term relationship (correlation coefficient), single paired assets prices spread long-term relationship or co-integration (Engle-Granger test) and multiple paired assets prices spreads vectors long-term relationship or co-integration (Johansen test).
  • Evaluate if single paired assets individual prices time series are non-stationary, individual prices differences are stationary and prices spread is stationary (augmented Dickey-Fuller test, Phillips-Perron test).
  • Outline co-integrated paired assets prices spreads trading strategies (rolling spread normalized time series or z-score technical indicator, trading signals, strategy positions).
  • Assess co-integrated paired assets prices spreads trading strategies performance (annualized return, standard deviation and Sharpe ratio, cumulative returns and maximum drawdown charts) and compare them with buy and hold benchmarks.

3. Typical Student

This course is ideal for you as:

  • Undergraduate or postgraduate who wants to learn about the subject.
  • Finance professional or academic researcher who wishes to deepen your knowledge in quantitative finance.
  • Experienced investor who desires to research pairs trading strategies.
  • This course is NOT about “get rich quick” trading systems or magic formulas.