PairTrading (1.1)

classical pair trading based on cointegration in finance.

http://cran.r-project.org/web/packages/PairTrading

This package gives classical trading strategy called "Pair trading" to you. you can easily specify pairs for trading and do back-test by this package. It's based on cointegration. Cointegration is a statistical feature of time series proposed by Engle and Granger.

Maintainer: Shinichi Takayanagi
Author(s): Shinichi Takayanagi, Kohta Ishikawa

License: BSD

Uses: tseries, xts

Released over 7 years ago.