Unilateral Pairs Trading Strategy from "Trade Like a Hedge Fund" book

Author: kaspar1

Creation Date: 2/15/2013 10:57 AM

Wealth Lab » Trading Strategies » Unilateral Pairs Trading Strategy from "Trade Like a Hedge Fund" book

kaspar1

2/15/2013 10:57 AM

Hi,

I'm attempting to implement the Unilateral Pairs Trading Strategy from James Altuchers Trade Like a Hedge Fund. So far with no success. Has anyone tried to implement this strategy?

The code from the book is listed below. Am i missing something? Would anyone care to offer their programming services (for a fee if required)?

Thanks in advance

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Hi,

I'm attempting to implement the Unilateral Pairs Trading Strategy from James Altuchers Trade Like a Hedge Fund. So far with no success. Has anyone tried to implement this strategy?

The code from the book is listed below. Am i missing something? Would anyone care to offer their programming services (for a fee if required)?

Thanks in advance

[code]VAR Close1, Close2, RatioPane, StDevPane, TextPane, Bar, Sym, ActualRatioSeries,
  ActualRatioSMASeries, DeltaSeries, DeltaSMASeries, DeltaDifferenceSeries, DeltaNormSeries, MAPeriod: Integer;
  
VAR Up_Threshold, Down_Threshold, Exit_Up_Threshold, Exit_Down_Threshold, R, Value, atr1, atr2: float;

VAR Stock1, Stock2, LongSymbol, ShortSymbol, CurrentSymbol, TestSymbol: String;

//assign values
Up_Threshold := 1.5;
Down_Threshold := -1.5;
Exit_Up_Threshold := 0.5; //Positions entered above Up_Threshold exited
Exit_Down_Threshold := -0.5; //Positions entered below Down_Threshold exited

MAPeriod := 20;

//Synch series
For Sym := 0 To WatchListCount - 1 Do
  SetPrimarySeries(WatchListSymbol(Sym));
  
//Find best correlated
R := 0.0;
LongSymbol := '';
Value := -1.0;
CurrentSymbol := GetSymbol;

For Sym := 0 To WatchlistCount - 1 Do
 begin
  TestSymbol := WatchListSymbol(Sym);
  SetPrimarySeries(TestSymbol);
  Close1 := #Close;
  RestorePrimarySeries;
  R := Correlation(Close1, #Close, 0, BarCount - 1);
  
  Print(TestSymbol + ' ' + FormatFloat('#.###', R));
  
  if (R > Value) And (TestSymbol <> GetSymbol) then
   begin
    CurrentSymbol := TestSymbol;
    Value := R;
   end;
  end;
  
 //##### Change for manual entry #############
 Stock1 := GetSymbol; //The symbol that is being worked
 Stock2 := CurrentSymbol; //Best correlated symbol

Print(' ');
 Print(' CORRELATED SYMBOL: ' + Stock2);
 Print(' ');
 
 //Compute series
 SetPrimarySeries(Stock1);
 Close1 := #Close;
 
 SetPrimarySeries(Stock2);
 Close2 := #Close;
 
 RestorePrimarySeries;
 
 ActualRatioSeries := DivideSeries(Close1, Close2);
 ActualRatioSMASeries := SMASeries(ActualRatioSeries, MAPeriod);

DeltaSeries := SubtractSeries(ActualRatioSeries, ActualRatioSMASeries);
 DeltaSMASeries := SMASeries(DeltaSeries, MAPeriod);

DeltaDifferenceSeries := SubtractSeries(DeltaSeries, DeltaSMASeries);
 DeltaNormSeries := DivideSeries(DeltaDifferenceSeries, StdDevSeries(DeltaSeries, MAPeriod));
 
 //Correlation coefficient
 Value := Correlation(Close1, Close2, 0, BarCount - 1);
 
 //Procedures
 Procedure Close_Positions();
  begin
   if (ShortSymbol = Stock1) then LongSymbol := Stock2
    else LongSymbol := Stock1;

SetPrimarySeries(ShortSymbol);
  // CoverAtMarket(Bar + 1, LastPosition - 1, 'Cover ' + ShortSymbol);
   
   SetPrimarySeries(LongSymbol);
   SellAtMarket(Bar + 1, LastPosition, 'Sell ' + LongSymbol);
   
   RestorePrimarySeries;
  end;
  
 Procedure Enter_Positions();
  begin
   if (ShortSymbol = Stock1) then LongSymbol := Stock2
    else LongSymbol := Stock1;
    
   if ShortSymbol = Stock1 then
   // ShortAtMarket(Bar + 1, 'ShortSell ' + ShortSymbol);
    
   SetPrimarySeries(LongSymbol);
   
   if LongSymbol = Stock1 then
    BuyAtMarket(Bar + 1, 'Buy ' + LongSymbol);
    
   RestorePrimarySeries;
  end;
  
 //Main
 for Bar := MAPeriod + 20 to BarCount - 1 do
  begin
   SetPrimarySeries(Stock2);
   
   atr2 := ATR(Bar - 1, 125);
   
   RestorePrimarySeries;
   
   atr1 := ATR(Bar - 1, 125);
   
   if (atr1 / PriceClose(Bar - 1)) > (atr2 / GetSeriesValue(Bar - 1, Close2) * 1.0) then
    begin
     //ApplyAutoStops(Bar);
     if LastPositionActive then
      begin
       if ((GetSeriesValue(Bar, DeltaNormSeries) < Exit_Up_Threshold) And (ShortSymbol = Stock1)) then
        begin
         ShortSymbol := Stock1;
         Close_Positions();
        end; //Exit_Up_Threshold
        
       if ((GetSeriesValue(Bar, DeltaNormSeries) > Exit_Down_Threshold) And (ShortSymbol = Stock2)) then
        begin
         ShortSymbol := Stock2;
         Close_Positions();
        end; //Exit_Up_Threshold
        
       end //if LastPostionActive
       
       else //No Active Position
       begin
        if GetSeriesValue(Bar, DeltaNormSeries) > Up_Threshold then
         begin
          if (PriceClose(Bar) > PriceClose(Bar - 1) * 1.02) then
           begin
            ShortSymbol := Stock1;
            Enter_Positions();
           end;
        end; //if Up_Threshold
        
        if GetSeriesValue(Bar, DeltaNormSeries) < Down_Threshold then
         begin
          ShortSymbol := Stock2;
          if PriceClose(Bar) < PriceClose(Bar - 1) * 0.98 then
           Enter_Positions();
          end; //if < Down_Threshold

end; //else
       end;
       end;[/code]

Eugene

2/15/2013 11:45 AM

The code is in WL4 format, so it's not going to work in WL6: someone has to translate it to C# first. You could try the free WealthScript Translator tool (see FAQ: Will Wealth-Lab Developer 6.x recognize my chartscripts?) but I'm afraid that it will stumble on Watchlist* methods: they probably are not supported by WSTL. So, with high certainty it's a manual translation i.e. coding from scratch.

ss161

2/15/2013 7:06 PM

It's been a while since I've been on this site. I like the enhancements! I currently don't have Wealth-Lab but am debating getting it again. I've not read the book, but this is my take on Pairs Trading (from 2009). I'm posting as I'm thinking about what I want to do next (on a full time basis) and want to see if this generates any interest -- the code won't run as several required libraries are missing, but it may spur some ideas on how to proceed.

Regards,

Steve

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It's been a while since I've been on this site.  I like the enhancements!  I currently don't have Wealth-Lab but am debating getting it again.  I've not read the book, but this is my take on Pairs Trading (from 2009).  I'm posting as I'm thinking about what I want to do next (on a full time basis) and want to see if this generates any interest -- the code won't run as several required libraries are missing, but it may spur some ideas on how to proceed.

Regards,

Steve

[code]/*
 * 
 * Created by SharpDevelop.
 * User: Steve
 * Date: 4/4/2009
 * Time: 10:57 PM
 * 
 */
// ---------------------------------------------------------------------------------------------------------------------------------------------------
// PLEASE NOTE
// This source code is provided "as is" and without warranties as to performance or merchantability. The author and/or distributors of this source code
// may have //made statements about this source code. Any such statements do not constitute warranties and shall not be relied on by the user in deciding
// whether to use this source code.
//
// This source code is provided without any express or implied warranties whatsoever. Because of the diversity of conditions and hardware under which this
// source code may be used, no warranty of fitness for a particular purpose is offered. The user is advised to test the source code thoroughly before relying
// on it. The user must assume the entire risk of using the source code.
// ---------------------------------------------------------------------------------------------------------------------------------------------------
using System;
using System.Collections;
using System.Collections.Generic;
using System.Text;
using System.IO;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
//using WealthLab.ChartStyles;
using ATP.Components;
using CenterSpace.NMath.Core;
using CenterSpace.NMath.Stats;
namespace WealthLab.Strategies {
 
	public class CointegratedPairsTradingSystem : WealthScript {
 
		private StrategyParameter Sym1Mode;
		private StrategyParameter Sym2Mode;
		public CointegratedPairsTradingSystem() {
			Sym1Mode = CreateParameter( "Sym1 0=S,1=M", 0, 0, 1, 1 );
			Sym2Mode = CreateParameter( "Sym2 0=S,1=M", 0, 0, 1, 1 );
		}
		
		protected override void Execute() {
			
			string	path				= "C:\\Data\\COINT\\";
			
			int		Period				= 126;
			int		StepSize 			= 1;
			double	SIGTHRESH 			= 0.70d;
			double	R2THRESH 			= 0.80d;
			double	CriticalLevel 		= 0.025;

double	BUYTHRESH			= -2.5d;
			double	SELLTHRESH			= 2.5d;
			double	EXITLONGTHRESH		= -1.0d;
			double	EXITSHORTTHRESH		= 1.0d;
			double	MINSPREAD			= 0.0065d;
			double	R2SIG				= 0.50d;
			
			
			bool 	PlotData 			= false;
			
			bool	LongPair, ShortPair;
			
			string Resultsfn			= null;
			string Tradesfn				= null;
			string PairDatafn			= null;
			string inputSym				= null;
			string secondSym			= null;

WLReflection r 	= new WLReflection( this );
			string Mode		= r.Mode;
			
			if (Mode != "SSB") {
				throw new Exception( "Must be run in SSB model" );
			}
			
			string 	pathTrades 	=  path + "TRADES\\";
			Tradesfn			= pathTrades + "TRADES" + DateTime.Now.ToString("yyyy-MM-dd.HHmm") + ".CSV";
			string 	pathResults	= path + "TRADES\\";
	 		Resultsfn			= pathResults + "RESULTS" + DateTime.Now.ToString("yyyy-MM-dd.HHmm") + ".CSV";
	 		string pathPairData	= path;
			PairDatafn			= pathPairData + "DataSet.CSV";

PrintStatusBar( "Loading Data: " + System.DateTime.Now.ToLongTimeString() );
			PairResult PR 	= new PairResult( this );
			PR.Load( PairDatafn, 1 );
			PrintStatusBar( "Finished Loading Data: " + System.DateTime.Now.ToLongTimeString() );
			PairResult	PRdata	= null;
	 		
	 		if ( Sym1Mode.ValueInt == 0 ) {
	 			inputSym = Microsoft.VisualBasic.Interaction.InputBox("Enter 1st Symbol", "Enter 1st Sym", "", 500, 500);
	 		}
			if ( Sym2Mode.ValueInt == 0 ) {
				secondSym = Microsoft.VisualBasic.Interaction.InputBox("Enter 2nd Symbol", "Enter 2nd Sym", "", 500, 500);
			}

if ( Sym1Mode.ValueInt == 0 ) {
				Result rslt = PR.GetSymData( inputSym );
				PRdata = rslt.ToPairResult();
			} else {
				PRdata = PR;
			}
			
			if ( Sym2Mode.ValueInt == 0 ) {
				Result rslt = PRdata.GetSym2Data( secondSym );
				PRdata = rslt.ToPairResult();
			} else {}
			
	 		WealthLabUtilities u = new WealthLabUtilities( this );
			
			Bars Sym1UABars	= null;
			Bars Sym2UABars	= null;
			Bars Sym1Bars	= null;
			Bars Sym2Bars	= null;
			DataSeries f	= null;

string[] sym1s = PRdata.GetSymbols();
			for ( int i = 0; i < sym1s.Length; i++ ) {

//				TimeSeries tYr = CreateTimeSeries( sym1s[ i ], Period, StepSize );				
				string Sym1 = sym1s[ i ];
				PrintStatusBar( sym1s[ i ] + ": Loading Data" );
				Sym1UABars = GetExternalSymbol( Sym1, true );
				string Sym1Desc = Sym1UABars.SecurityName;
				f				= u.GetDividendAdjustmentFactors( Sym1UABars );
				Sym1Bars		= u.DividendAdjust( Sym1UABars, f );
				DataSeries Yr = Sym1Bars.Close;
				TimeSeries tYr = new TimeSeries( this, Yr, Period, StepSize );

PairResult PR2 = PRdata.GetSymData( Sym1 ).ToPairResult();

for ( int j = 0; j < PR2.Count; j++ ) {
					
					PairVar		pv		= PR2.GetRow( j );

string 		Sym2	= pv.sym2;

if ( ( Sym1Mode.ValueInt == 0 ) && ( Sym2Mode.ValueInt == 0 ) ) {
						PlotData = true;
					} else {
						PlotData = false;
					}
					
					PrintStatusBar( sym1s[ i ] + "|" + Sym2 );
						
					if ( Sym2Bars != null ) {
						Sym2Bars.Cache.Clear();
					}
					Sym2UABars = GetExternalSymbol( Sym2, true );
					string Sym2Desc = Sym2UABars.SecurityName;
					f				= u.GetDividendAdjustmentFactors( Sym2UABars );
					Sym2Bars		= u.DividendAdjust( Sym2UABars, f );
					DataSeries Xr	= Sym2Bars.Close;
					TimeSeries tXr = new TimeSeries( this, Xr, Period, StepSize );
					RestoreContext();
					
					int k = 0;
					bool Found = false;
					while ( ( k < Sym2Bars.Count ) && ( !Found ) ) {
						if ( Sym2Bars.Date[ k ] == pv.dt ) {
							Found = true;
						} else {
							k++;
						}
					}

if ( !DatePresent( pv ) ) {
						break;
					} else {
						PrintStatusBar( "Creating Cointegrated Series Object" );
						CointegratedSeries cs = new CointegratedSeries( this, tYr, tXr );
						PrintStatusBar( "Calcing Cointegrated Series" );
						cs.ci_.Add( cs.CalcCI_EGTest( Period, StepSize, CriticalLevel, SIGTHRESH, R2THRESH, false ) );
						PrintStatusBar( "Creating Data Series" );
						Hashtable ds = cs.ci_[0].CI.ToDataSeries( 4 );
						
						ChartPane PAIRPANE = null;
						ChartPane ZPANE = null;
						ChartPane LOGPANE = null;
						ChartPane THETAPANE = null;
						ChartPane SYM1PANE = null;
						ChartPane SYM2PANE = null;
						ChartPane REGPANE = null;
						ChartPane SPRDPANE = null;
						ChartPane TSTATPANE = null;
						ChartPane ISSIGPANE = null;
						ChartPane R2PANE = null;

//		df.AddColumn( new DFNumericColumn( "Correl" ) );
//		df.AddColumn( new DFNumericColumn( "VolY" ) );
//		df.AddColumn( new DFNumericColumn( "VolX" ) );
//		df.AddColumn( new DFNumericColumn( "VolRatio" ) );
//		df.AddColumn( new DFNumericColumn( "CumSigPct" ) );
//		df.AddColumn( new DFNumericColumn( "Ydaf" ) );
//		df.AddColumn( new DFNumericColumn( "Xdaf" ) );
//		df.AddColumn( new DFNumericColumn( "RSigPct" ) );
//		df.AddColumn( new DFNumericColumn( "Theta2" ) );		
						
						
						DataSeries Pair =	(DataSeries)ds[ "Pair" ];
						DataSeries A =		(DataSeries)ds[ "A" ];
						DataSeries B = 		(DataSeries)ds[ "B" ];
//						DataSeries Res = 	(DataSeries)ds[ "Res" ];
						DataSeries TStat = 	(DataSeries)ds[ "TStat" ];
						DataSeries IsSig = 	(DataSeries)ds[ "IsSig" ];
						DataSeries R2Adj = 	(DataSeries)ds[ "R2Adj" ];
						DataSeries Y = 		(DataSeries)ds[ "Y" ];
						DataSeries X = 		(DataSeries)ds[ "X" ];
						Yr = 				(DataSeries)ds[ "Yr" ];
						Xr = 				(DataSeries)ds[ "Xr" ];
						DataSeries Theta = 	(DataSeries)ds[ "Theta" ];

DataSeries Z = 		(DataSeries)ds[ "Z" ];
						DataSeries SD = 	(DataSeries)ds[ "Std" ];

//						DataSeries ResY = 	(DataSeries)ds[ "ResY" ];
						DataSeries MeanRes = (DataSeries)ds[ "MeanRes" ];

DataSeries Yrhat = Utilities.Exp(this, A + (B * X), 0);	Yrhat.Description = "Yrhat";
						DataSeries Badj = B * ( Yrhat / Xr );					Badj.Description = "Badj";
					
						DataSeries SDUPp5 = SD * 0.5;							SDUPp5.Description = "sd0.5";
						DataSeries SDUP1 = SD;									SDUP1.Description = "sd";
						DataSeries SDUP2 = SD * 2;								SDUP2.Description = "sd2";
						DataSeries SDUP3 = SD * 3;								SDUP3.Description = "sd3";

DataSeries SDDNp5 = SD * -0.5;							SDDNp5.Description = "sd_0.5";
						DataSeries SDDN1 = SD * -1;								SDDN1.Description = "sd_1";
						DataSeries SDDN2 = SD * -2;								SDDN2.Description = "sd_2";
						DataSeries SDDN3 = SD * -3;								SDDN3.Description = "sd_3";
			
						DataSeries Sprd = Yr - Yrhat;							Sprd.Description = "sprd";

if (PlotData) {
				
							HideVolume();
							PAIRPANE =		CreatePane(Int32.MaxValue, false, true);
							ZPANE =			CreatePane(Int32.MaxValue/2, false, true);
							LOGPANE = 		CreatePane(Int32.MaxValue, false, true);
							THETAPANE =		CreatePane(Int32.MaxValue/2, false, true);
							SYM1PANE = 		CreatePane(Int32.MaxValue/2, false, true);
							SYM2PANE = 		CreatePane(Int32.MaxValue/2, false, true);
							R2PANE = 		CreatePane(Int32.MaxValue/2, false, true);
							SPRDPANE = 		CreatePane(Int32.MaxValue/2, false, true);
							REGPANE = 		CreatePane(Int32.MaxValue/3, false, true);
							TSTATPANE = 	CreatePane(Int32.MaxValue/4, false, true);
							ISSIGPANE = 	CreatePane(Int32.MaxValue/6, false, true);
					
							PlotSeries( PAIRPANE, Pair, Color.Blue, LineStyle.Histogram, 6 );
							PlotSeries( PAIRPANE, Pair, Color.Black, LineStyle.Solid, 2 );

PlotSeries( PAIRPANE, SDDNp5, Color.Black, LineStyle.Solid, 1 );
							PlotSeries( PAIRPANE, SDUPp5, Color.Black, LineStyle.Solid, 1 );
							PlotSeries( PAIRPANE, SDDN1, Color.Green, LineStyle.Solid, 1 );
							PlotSeries( PAIRPANE, SDUP1, Color.Green, LineStyle.Solid, 1 );
							PlotSeries( PAIRPANE, SDDN2, Color.Red, LineStyle.Solid, 1 );
							PlotSeries( PAIRPANE, SDUP2, Color.Red, LineStyle.Solid, 1 );

//							PlotSeries( PAIRPANE, ResY, Color.Yellow, LineStyle.Solid, 1 );
							PlotSeries( PAIRPANE, MeanRes, Color.Black, LineStyle.Solid, 2 );
				
							PlotSeries( ZPANE, Z, Color.Blue, LineStyle.Histogram, 6 );
							PlotSeries( ZPANE, Z, Color.Black, LineStyle.Solid, 1 );
					
							PlotSeries( THETAPANE, Theta, Color.Blue, LineStyle.Histogram, 6 );
							PlotSeries( THETAPANE, Theta, Color.Black, LineStyle.Solid, 2 );

PlotSeries( LOGPANE, Y, Color.Blue, LineStyle.Solid, 2 );
							PlotSeries( LOGPANE, X, Color.Red, LineStyle.Solid, 2 );

PlotSeries( SYM1PANE, Yr, Color.Blue, LineStyle.Solid, 2 );
							PlotSeries( SYM1PANE, Yrhat, Color.Green, LineStyle.Solid, 2 );
							PlotSeries( SYM2PANE, Xr, Color.Red, LineStyle.Solid, 2 );

PlotSeries( REGPANE, Badj, Color.Blue, LineStyle.Solid, 2 );
							PlotSeries( REGPANE, B, Color.Green, LineStyle.Solid, 2 );
							PlotSeries( REGPANE, A, Color.Red, LineStyle.Solid, 2 );

PlotSeries( TSTATPANE, TStat, Color.Blue, LineStyle.Solid, 2 );

PlotSeries( ISSIGPANE, IsSig, Color.Blue, LineStyle.Histogram, 6 );

//							PlotSeries( R2PANE, R2Adj, Color.Blue, LineStyle.Solid, 2 );

PlotSeries( SPRDPANE, Sprd, Color.Blue, LineStyle.Histogram, 6 );
							PlotSeries( SPRDPANE, Sprd, Color.Black, LineStyle.Solid, 2 );
						}

PrintStatusBar(Bars.Symbol);
						string S1 = Sym1;
						string S2 = Sym2;

LongPair = false;
						ShortPair = false;
			
						for (int Bar = 0; Bar < Bars.Count; Bar++) {
				
							if (!IsLastPositionActive) { 
								if ( (IsSig[Bar] == 1) && (R2Adj[Bar] > R2SIG) ) {
									if ( ( Z[Bar] < BUYTHRESH ) && ( (Math.Abs(Sprd[Bar]) / Yr[Bar]) > MINSPREAD ) ) {
										OpenPosition(Bar, S1, S2, "");
										LongPair = true;
										ShortPair = false;
										SetBackgroundColor(Bar+1, Color.LightGreen);
									} else if ( ( Z[Bar] > SELLTHRESH ) && ( (Math.Abs(Sprd[Bar]) / Yr[Bar]) > MINSPREAD ) ) {
										OpenPosition(Bar, S2, S1, "" );
										LongPair = false;
										ShortPair = true;
										SetBackgroundColor(Bar+1, Color.LightGreen);
									}
								}
							} else {  // we have a position
								if ( ( Z[Bar] >= EXITLONGTHRESH ) && ( LongPair ) ) {
									ClosePosition(Bar, S1, S2, "");
									LongPair = false;
									ShortPair = false;
									SetBackgroundColor(Bar+1, Color.LightSalmon);
								} else if ( ( Z[Bar] <= EXITSHORTTHRESH ) && ( ShortPair ) ) {
									ClosePosition(Bar, S2, S1, "");
									LongPair = false;
									ShortPair = false;
									SetBackgroundColor(Bar+1, Color.LightSalmon);
								}
							}
						}	
					}
				}  //for loop    */
			}
		}

public void OpenPosition ( int Bar, string LongSym, string ShortSym, string es  ) {
			string d = ",";

SetContext( LongSym, true );
			BuyAtMarket( Bar +1, LongSym + d + es );

SetContext( ShortSym, true );
			ShortAtMarket( Bar +1, ShortSym + d + es );

RestoreContext();
		}
		
		public void ClosePosition ( int Bar, string LongSym, string ShortSym, string ExitString) {
			string d = ",";
			if (LastActivePosition.PositionType == PositionType.Long) {
			
				SellAtMarket( Bar +1, LastActivePosition, LongSym + d + ExitString);
				CoverAtMarket( Bar +1, LastActivePosition , ShortSym + d + ExitString);

} else {  // last active position is Short, so cover the short first

CoverAtMarket( Bar +1, LastActivePosition , ShortSym + d + ExitString);
				SellAtMarket( Bar +1, LastActivePosition, LongSym + d + ExitString);
			}
		}

public TimeSeries CreateTimeSeries( string sym, int Period, int StepSize ) {

WealthLabUtilities u = new WealthLabUtilities( this );
			
			PrintStatusBar( sym + ": Loading Data" );
			Bars SymUABars	= GetExternalSymbol( sym, true );
			string SymDesc	= SymUABars.SecurityName;
			DataSeries f	= u.GetDividendAdjustmentFactors( SymUABars );
			Bars SymBars	= u.DividendAdjust( SymUABars, f );
			TimeSeries t = new TimeSeries( this, SymBars.Close, Period, StepSize );
			
			return t;
		}
		
		public bool DatePresent( PairVar pv ) {

int k = 0;
			bool Found = false;
			while ( ( k < Bars.Count ) && ( !Found ) ) {
				if ( Bars.Date[ k ] == pv.dt ) {
					Found = true;
				} else {
					k++;
				}
			}
			return Found;
		}
		
	}
    
	public class CointegratedPairsTradingSystemHelper : StrategyHelper {
		public override string Name {
			get { return "CointegratedPairsTradingSystem"; }
		}
  
		public override Guid ID {
			get { return new Guid("27FDAB60-BF0A-44C2-9C57-1C98F8D83202"); }
		}
  
		public override string Author {
			get { return "Steve"; }
		}
  
		public override Type WealthScriptType {
			get { return typeof(CointegratedPairsTradingSystem); }
		}
  
		public override string Description {
			get { return ""; }
		}
  
		public override DateTime CreationDate {
			get { return new DateTime(2010, 4, 9); }
		}
  
		public override DateTime LastModifiedDate {
			get { return DateTime.Now; }
		}
	}
}
[/code]