pairs_trading.c File Reference

#include <assert.h>
#include <stdlib.h>
#include <math.h>
#include "wu.h"

Go to the source code of this file.

Macros
#define	NUM_INPUTS   2
#define	NUM_OUTPUTS   2

Functions
static WU_Signal *	pairs_trading_strat_update (struct WU_Strategy_ *strat_, const void *inputs[])
static void	pairs_trading_strat_free (struct WU_Strategy_ *strategy)
WU_PairsTradingStrat	wu_pairs_trading_strat_new (int window, double threshold, double ratio)
	Creates a new pairs trading strategy.

Variables
static const WU_DataType	input_types []
static WU_Signal	signal_buffer [NUM_OUTPUTS]

Macro Definition Documentation

NUM_INPUTS

#define NUM_INPUTS   2

Definition at line 6 of file pairs_trading.c.

NUM_OUTPUTS

#define NUM_OUTPUTS   2

Definition at line 7 of file pairs_trading.c.

Function Documentation

pairs_trading_strat_free()

void pairs_trading_strat_free ( struct WU_Strategy_ * strategy )

static

Definition at line 99 of file pairs_trading.c.

pairs_trading_strat_update()

WU_Signal * pairs_trading_strat_update ( struct WU_Strategy_ * strat_, const void * inputs[] )

static

Definition at line 16 of file pairs_trading.c.

wu_pairs_trading_strat_new()

WU_PairsTradingStrat wu_pairs_trading_strat_new	(	int	window,
		double	threshold,
		double	ratio )

Creates a new pairs trading strategy.

Parameters

window	Lookback period for spread statistics
threshold	Number of standard deviations for entry (e.g., 2.0)
ratio	Hedge ratio between assets

Returns

New pairs trading strategy instance

Definition at line 106 of file pairs_trading.c.

Variable Documentation

input_types

const WU_DataType input_types[]

static

Initial value:

                                     = {
    WU_DATA_TYPE_SINGLE_VALUE,
    WU_DATA_TYPE_SINGLE_VALUE
}

Definition at line 9 of file pairs_trading.c.

signal_buffer

WU_Signal signal_buffer[NUM_OUTPUTS]

static

Definition at line 14 of file pairs_trading.c.