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- chrnbr replied Mar 19, 2011
Time varying coefficients — Hello, during development of a backtesting engine in R, I realized an important thing that should be considered when evaluating spreads retrieved by whatever method (regression, PCA, ...). Consider at time t0 we ...
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- chrnbr replied Mar 3, 2011
Hi, getch, thank you for posting the recycle results. At the moment I only can handle up to 4 currencies in my code. I have to do some coding work in order to expand it. (Not a technical problem, just some changes to do.) Will see if I can do at the ...
- chrnbr replied Mar 1, 2011
A Third System ;-) — Hi, this is derived from a system using PCA and eigenvalues. Please consider the factor of -1 concerning the spread when comparing the graphs. Regards
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