From: | 2012-01-02 | To: | 2015-02-01 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
TEI | Templeton Emerging Markets Income Closed Fund | Financial Services | Asset Management | 310 | 0.1009 | 5.38 | 156522 |
FAX | Aberdeen Asia-Pacific IF Inc | Financial Services | Asset Management | 815 | 0.0985 | 15.4 | 148725 |
In this section, Engle-Granger cointegration test is performed using OLS regression method in both directions. Residuals of the regression are plotted and analyzed further:
Profit analysis is a set of backtests performed using multiple pair trading models over significant portion of parameter space. Backtest results are displayed in a form of scatter plot. In addition, you can see aggregated statistics in the left panel. All backtests are performed using 100% margin (leverage 1:1). This is the profit analysis where backtested strategies are allowed to open both long and short positions:
This is the profit analysis where backtested strategies are allowed to open long positions only:
This is the profit analysis where backtested strategies are allowed to open short positions only: