PairsTrade

[EViews Gareth]

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)."

[heavill]

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]

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...