| Category: .NET |
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|
 Triplets finder application |
| Submitter: vanna |
Date: 2011/2/7 |
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Description:
Finds cointegrated triplets from yahoo finance, which can be used to create a trading strategy. Uses Johansen's test to find coingeration vectors, and sorts them by half life. Table prerequisite:
CREATE TABLE `mytable1` (
`idmytable1` int(11) NOT NULL,
PRIMARY KEY (`idmytable1`)
) ENGINE=InnoDB DEFAULT CHARSET=latin1$$
delimiter $$
CREATE TABLE `cointegrationdata3` (
`symbolA` varchar(30) NOT NULL,
`symbolB` varchar(30) NOT NULL,
`symbolC` varchar(30) NOT NULL,
`evalue` decimal(10,6) NOT NULL DEFAULT '0.000000',
PRIMARY KEY (`symbolA`,`symbolB`,`symbolC`,`evalue`)
) ENGINE=InnoDB DEFAULT CHARSET=latin1$$
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426  0 bytes  C# .NET WPF MySQL  http://www.quantcode.com/ |
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