Excel/Code bundle

Posted: December 29, 2011 in Uncategorized

Per request, I have bundled all the Excel files and source code into a single ZIP archive and posted it @ http://www.fileserve.com/file/yCqYtB8/Autospreader.zip for a single download.

Happy New Year! 

  1. adrian says:

    Hi There,

    I just want to say thanks for the excel bundle. I’m having a great time learning with the Pairs spreadsheet. Learning alot from your work.

    Do you have any overview or specifics on the information contained in the pairs spreasheet, or is it supplied as-is?


  2. autospreader says:

    I will see if I can review it and put together something for you.

  3. adrian says:

    Thanks AS!

    I have been attempting to get my head around this regression stuff for my pairs trading. I’m applying a range of non-statistical techniques with my trading, and feel I now need to get my head around regression to have a better understanding/confidence in my trading.


  4. adrian says:

    Hi again AS!

    I have been using your “pairs checking spreadsheet and have a question that Google has not been able to answer satisfactorily to a stats layman, so perhaps you have 2 minutes to explain it to me.

    On the “OLS” page of your spreadsheet, you have two cells that provide the formula for the covariance divided by series 1, and the covariance divided by series 2. (Cells B6 and B10). You have highlighting set to highlight the highest of the two values.

    Can you give me a brief explanation on what the Covar/Var measure provides?

    In my testing, it appears this measure indicates a good linear relationship when the highest value is closest to 1.

    Appreciate your comments, and apologies if I am asking an extremely basic question!


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