Discussion in 'Strategy Development' started by lordoftrades, Jan 24, 2013.

  1. Hi

    I have a software called PairTradeFinder, and I try to replicate the correlation value. I have an excel-sheet with exactly the same values as in PTF, and I use built-in formula for CORREL in Excel.

    I cannot get the same values as in PTF, does anyone know how this correlation is calculated in PTF software???

    I have tried to split the data into groups of 100days, but when I check against different pairs my results seems random compared to PTF.

    I have tried to measure correlation on open, on highs, on lows...

    Let me know if you have any ideas on how to replicate the correlation formula. :)
  2. Mukul


    Hi , I am from India & also took a 1 month trial of pair tradefinder , it started some 3-4 day back . I am still working on it , I will let you know if I get some ......
  3. Thanks. I have worked out an excel-sheet that can update the SQL database directly, such that I can add all 205 sectors, and the stocks without typing them step by step.

    I'll PM you my email.

    Have a nice day :)