PairsTrade

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EViews Gareth
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PairsTrade

Postby EViews Gareth » Mon Jan 23, 2012 2:32 pm

This thread is about the PairsTrade Add-in written by Eren Ocakverdi (Trubador).

His description:
This add-in demonstrates that how economic concepts and/or econometric techniques can be useful in financial decision making (i.e. trading) and that how EViews can effectively handle the whole process. The analytic structure behind the add-in is a restricted and a slightly less sophisticated version of the original model currently being used at Yapi Kredi Invest (among other tools)."
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heavill
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Re: PairsTrade

Postby heavill » Thu Nov 01, 2012 5:05 pm

Help with data import into Pairs Trading Model.

I have download the Pairs Trading Model add-in and reviewed the associated PowerPoint presentation. Without any data setup instructions or a sample spreadsheet I'm stuck preparing the pairs data for the model to analyze. I would like to know how to setup the data using both an Excel file directly accessed by the model (what is the structure of the Excel file?), or creating a workfile ahead of executing the model (does each security have its own tab, do I use Groups, or ...?). Also, the "Prebuilt pairs lists" will only accept the "none" option.

Any other hints on how to setup and execute the model would be appreciated.

The work is most impressive, but I'm still at ground zero getting it to work for me. Thanks!

trubador
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Re: PairsTrade

Postby trubador » Sat Nov 03, 2012 8:01 am

That's because it is very easy and user-friendly to import or read data from Excel when you use EViews. I attached a sample data file to this post. If you are using the add-in, all you have to do is entering the location of the file in the first box: C:\users\...\desktop\SampleData.xls

And please remember that EViews can automatically detect the structure of your file, so you can try other specifications as well.

Prebuilt pair lists are specific to the data at hand so they are not available to everyone. It would not make sense. I put this option just to show users the functionality of the add-in.

If you have a basic knowledge of pairs trading, then the output should be pretty self-explanatory...
Attachments
SampleData.xls
Sample Data-daily
(62.5 KiB) Downloaded 536 times

jandahne
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Joined: Tue Jan 21, 2014 4:56 pm

Re: PairsTrade

Postby jandahne » Tue Jan 21, 2014 5:10 pm

Hi,

Recently I downloaded the Demo version of EViews 8 (64bit) and also installed the PairsTrade add-in. However I always get the Syntax Error message when I try to run the add-in. I created the workfile and selected the pairs appropriately on the add-in screen however when I clicked OK, it always give Syntax Error box. I could not figure out why it does not work ? I also used the SampleData.xls from the previous post. Any comment and help! Is it because I am using Demo version? Thanks.

JD

akash27
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Joined: Wed Jun 18, 2014 9:00 am

Re: PairsTrade

Postby akash27 » Wed Jul 23, 2014 7:05 am

The add-in summary report doesn't show any return (cumulative or excess) for pairs trading strategy. Is there any way to calculate these returns?

rajput.jps
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Re: PairsTrade

Postby rajput.jps » Fri May 08, 2015 11:15 am

hi,
i just installed the YKI Pairs Trading Model Add in but I am not able to import the SampleData.xls despite giving the correct path.The error is " Syntax error".Anybody please help!!!

trubador
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Re: PairsTrade

Postby trubador » Wed May 13, 2015 1:01 am

The add-in is now updated and upgraded to allow for the estimation of dynamic conditional correlations among the assets.

rajput.jps
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Joined: Fri May 08, 2015 11:08 am

Re: PairsTrade

Postby rajput.jps » Wed May 20, 2015 8:39 am

Hi,
The pair trade plugin is still showing "syntax error" while data is being input in to the application.Please help.

trubador
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Re: PairsTrade

Postby trubador » Sat May 23, 2015 2:23 pm

Have you updated the add-in?

rajput.jps
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Re: PairsTrade

Postby rajput.jps » Tue Jun 02, 2015 5:38 am

Hi ,
Thanks for the update.The add in is working fine now.May I ask which Co integration Test is being used in the Add in and is there any option of chooing either Engle Granger or Johansen Test?

trubador
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Re: PairsTrade

Postby trubador » Tue Jun 09, 2015 6:20 am

Add-in implements the Johansen procedure. No, you are not allowed to choose Engle-Granger methodology.


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