Pairs Trading by Eugene

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icolville@colvillenet.com

#1
I'm trying to code a stop loss exit that will exit both sides of the pair if the net loss on the PAIR (not just one of the positions) is above a certain level. I'm stumped. Its easy to exit a single side/positions using the usual functions but I have no idea how sum the profit/loss of both sides of pair and use that as the determinant for exiting the trade. Any suggestions?