By AndrewPeters.
Calculates the present value of an American option using the Cox-Ross-Rubenstein binomial tree model

Discussed in http://www.wilmott.com/

Implements paper

A. Hirsa, D.B. Madan, Pricing American options under variance gamma

To directly run the application without building the source code, please see http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=15&lid=591

PS : GSL binaries are built on and will work only on 32bit. I will create a seperate folder for 64 bit later.


This application can be used for back testing pairs trading strategies using historical stock prices downloaded from Yahoo finance. It is based on WPF, and utilizes infrastructure of Tradelink library to do PL calculations.

Prerequisites:
1.Install WPF toolkit from http://wpf.codeplex.com/

Some FAQs:

How do I get to build and run the code?
1. Create a folder C:\Download.
2. Unzip attached download file and copy folder tratest1 into C:\downloads
3. Open project in Visual C# 2008 and build the application.

What is the green/red color box?
It is an indication of the confidence level of stationarity of the spread between the 2 stock prices. The series is obtained from log A - log B , as mentioned in (17) of paper http://www.yats.com/doc/cointegration-en.pdf pvalue reesult of augment dickey fuller test is used for interpolating green and red values.

How do I say if the pair can be profitable?
Keep moving the sliders for begin train time/ End training time. If it is green throughout the movements, the spread has been stationary during the entire history. It is thus more likely to be so in the near future.

What is the graph?
When checkbox for Show Graph is checked, and then calculate button is clicked, graph of spread will be shown of the training data, along with the follwing lines:
mean spread
mean +/- (upper threashold) * stddev
mean +/- (lower threashold) * stddev

If you find issues, please post your message in :
http://www.quantcode.com/modules/newbb/viewtopic.php?topic_id=315&post_id=593&order=0&viewmode=thread&pid=0&forum=1#forumpost593

If you are interested in learning more about doing charts in WPF, please see these links:
http://msdn.microsoft.com/en-us/library/dd456632.aspx
http://msdn.microsoft.com/en-us/library/system.windows.forms.datavisualization.charting.aspx

Searches pairs from yahoo finance and sorts them by adf statistics. Calculates profit of the top 50 pairs.

Prerequisite
The only perquisite is an internet connection.

There are 2 strategies used for back testing:
1.Calibrate regression parameters using test period data of 1 year, and use the same calibrated values through out the test period.
2.Calibrate regression parameters using the previous 252 days of data on each each test date. (we hope that this will prevent loss during scenario when the ratio has been moved or shifted permanently.


TBD :
- Create a strategy of entering/exiting spread when spread enters back into the zone after crossing the thresholds
- Create a strategy of continuous re-balancing
- Add transaction cost

This program demonstrates using TA-LIB to calculate MACD histogram for closing price of MSFT stock. After clicking the button, results are displayed in the listview.
For more information on using Ta-Lib and C# WPF, please refer http://www.quantcode.com/modules/smartfaq/faq.php?faqid=92