## 3 Proposed Approach
### AGBCPT Example
* Using the 10-day moving average of \(S_{1102}\) and \(S_{2412}\) as examples, the values of \(MA_{1102}(11)\) and \(MA_{2412}(11)\) are calculated as 25.5 and 61.9. * The moving average value and \(BBentryWidth_{1}\) are used to calculate the entry upper and lower bands of \(S_{1102}\) and \(S_{2412}\) as \[UB_{1102}(11)=25.5+1\times 3.02=28.52,\] \[LB_{1102}(11)=25.5-1\times 3.02=22.47,\] \[UB_{2412}(11)=61.9+1\times 5.78=67.68,\text{and}\] \[LB_{2412}(11)=61.9-1\times 5.78=56.11.\]
* The moving average value and \(BBoutWidth_{1}\) are used to calculate the exit upper and lower bands of \(S_{1102}\) and \(S_{2412}\) as \[US_{1102}(11)=25.5+0.5\times 3.02=27.01,\] \[US_{2412}(11)=61.9+0.5\times 5.78=64.79,\] \[LS_{1102}(11)=25.5-0.5\times 3.02=23.99,\text{and}\] \[LS_{2412}(11)=61.9-0.5\times 5.78=59.01.\]
* The \(oDay_{q}\), entry upper and lower bands are used to determine whether trading pair \(tp(s_{i},s_{j})\) in \(TPset\) meet the conditions to enter the market. * Take trading pair \(tp(S_{1102}\), \(S_{2412})\) as an example. It is checked to determine whether it meets the following entry conditions at trading Day \(T\) (=11). Since \(oDay_{1}\) of \(C_{1}\) is 1, according to the stock prices on Day 10 (=\(11-1\)) of \(S_{1102}\) and \(S_{2412}\), the two conditions are shown as \[S_{2412}\]0 \[S_{2412}\]1 Since the above entry conditions are met, it is expected that \(S_{1102}\) will continue to fall and \(S_{2412}\) will continue to rise; the pairs trading strategy then shorts \(S_{1102}\) and longs \(S_{2412}\). The conditions are shown in \[S_{2412}\]2  
\begin{table} \begin{tabular}{c c c c c c} \hline \hline
**Company** & **1101** & **1102** & **2317** & **2412** & **2474** & **6505** \\ \hline
1101 & 1 & 0.9941 & 0.3869 & \(-\)0.9772 & \(-\)0.9771 & \(-\)0.9598 \\
1102 & 1 & 0.3946 & \(-\)0.9861 & \(-\)0.9819 & \(-\)0.9708 \\
2317 & & & 1 & \(-\)0.3244 & \(-\)0.423 & \(-\)0.2942 \\
2412 & & & & 1 & 0.9723 & 0.9881 \\
2474 & & & & 1 & 0.9466 \\
6505 & & & & & 1 \\ \hline \hline \end{tabular}   
* The \(cLimit_{q}\) value is used to find the qualified stock pairs and \(BBentryWidth_{q}\), \(BBoutWidth_{q}\), and \(mDay_{q}\) are used to generate the entry and exit bands. * Take \(C_{1}\) as an example. Because \(cLimit_{q}\) is \(-\)0.98 and the \(CCS_{1102}\),\(S_{2412}\) and \(CCS_{1102}\),\(S_{2474}\) are \(-\)0.9861 and \(-\)0.9819, meeting the condition, they are inserted into the trading pair candidate set \(TP_{set}=\{tp(S_{1102}\), \(S_{2412})\), \(tp(S_{1102}\), \(S_{2474})\}\). * 1) of companies \(S_{1102}\) and \(S_{2412}\) of \(tp(S_{1102}\), \(S_{2412})\) in \(TP_{set}\) are generated as \[S_{1102}\] : {21, 22, 23, 24, 25, 26, 27, 28, 29, 30},\] and \[S_{2412}\] : {71.5, 68, 66.5, 65, 63, 60, 57, 58, 56, 54}. * Using the 10-day moving average of \(S_{1102}\) and \(S_{2412}\) as examples, the values of \(MA_{1102}(11)\) and \(MA_{2412}(11)\) are calculated as 25.5 and 61.9. * The moving average value and \(BBentryWidth_{1}\) are used to calculate the entry upper and lower bands of \(S_{1102}\) and \(S_{2412}\) as \[UB_{1102}(11)=25.5+1\times 3.02=28.52,\] \[LB_{1102}(11)=25.5-1\times 3.02=22.47,\] \[UB_{2412}(11)=61.9+1\times 5.78=67.68,\text{and}\] \[LB_{2412}(11)=61.9-1\times 5.78=56.11.\]
* The moving average value and \(BBoutWidth_{1}\) are used to calculate the exit upper and lower bands of \(S_{1102}\) and \(S_{2412}\) as \[US_{1102}(11)=25.5+0.5\times 3.02=27.01,\] \[US_{2412}(11)=61.9+0.5\times 5.78=64.79,\] \[LS_{1102}(111)=25.5-0.5\times 3.02=23.99,\text{and}\] \[LS_{2412}(11)=61.9-0.5\times 5.78=59.01.\]
* The \(oDay_{q}\), entry upper and lower bands are used to determine whether trading pair \(tp(s_{i},s_{j})\) in \(TPset\) meet the conditions to enter the market. * Take trading pair \(tp(S_{1102}\), \(S_{2412})\) as an example. It is checked to determine whether it meets the following entry conditions at trading Day \(T\) (=11).