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Trying to replicate: Pair Trading International ETF by Schizas et al. (see free pdf)

Dear all,
here is an attempt at replicating the strategy mentioned in title. Said strategy should be decorrelated from the SP500, and delivering good returns, for a moderate risk.

The original article can be found here: http://www.aueb.gr/conferences/Crete2011/more%20recent/Schizas.pdf
The actual code starts at line 351, whatever is before represents my Portfolio Management Structure (managing multiple strategies)

Any hints and contributions helping me fix this code is much appreciated, and eventually could benefit some in the community.
Best,

1 response

some good news, better than it appears to be because it is only risking 2/3 of the initial capital right now, so far.