Ernie Chan's 黄金 vs. 黄金矿工
=================================

本例基于:
 * http://epchan.blogspot.com.ar/2006/11/gold-vs-gold-miners-another-arbitrage.html
 * https://www.quantopian.com/posts/ernie-chans-gold-vs-gold-miners-stat-arb

.. literalinclude:: ../samples/statarb_erniechan.py

本例输出结果如下:

.. literalinclude:: ../samples/statarb_erniechan.output

最终结果绘制如下图所示:

.. image:: ../samples/statarb_erniechan.png

You can get better returns by tunning the window size as well as the entry and exit values for the z-score.