PairExit

PairExit(close, price1, price2, spread, stopspread)

Parameters

Close = Close (keep the default value)

Price1 = the close of the first stock (other instrument data version, same order as pair entry)

Price2 = the close of the second stock (other instrument data version, same order as pair entry)

Spread = the value of the spread between the stock prices where you want to exit a trade (may be optimized)

StopSpread = the “emergency” exit for the trade, equivalent to a stop.  This will be a wider spread than the entry spread in the PairEntry.  If the spread widens, the stop will occur.

Both the PairEntry and PairExit conditions may not be combined with other rules or trailing or protective stops.   The PairExit indicator includes the StopSpread parameter that can be set as an emergency exit for both stocks.  If the StopSpread exit occurs, the trade will not be entered again until the spread falls below the entry spread and then crosses above the entry spread.

For more information on creating a Pair Trading System, refer to Pair Trading Implementation in NeuroShell Trader.