feizei2008 / tick_mean_reversion
tick价差套利（参考vnpy网友资料、vnpy论坛资料、windquant）： 1、按被动腿时间戳对齐 2、profile函数展示（需要py3） 3、平稳性检验 4、对冲手数计算 5、2sigma开仓，3sigma止损(或者赌价差扩散？)6、连续止损后cool down一段时间
☆14Updated 5 years ago
Alternatives and similar repositories for tick_mean_reversion:
Users that are interested in tick_mean_reversion are comparing it to the libraries listed below
- verify OrderBook Tick Data Trading Strategy on futures.☆15Updated 5 years ago
- 用SVM构建高频交易策略☆13Updated 5 years ago
- 基于聚宽平台，探索分钟级的高频交易☆33Updated 4 years ago
- Channel break out strategy for High Frequency Trading.☆13Updated 6 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- Use machine learning to trade bitcoin.☆10Updated 3 years ago
- Derive order flow from Tick and Trade data.☆28Updated 3 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- Just another backtester☆20Updated last month
- Quant finance Portal based on project BearAlpha. This project contains strategy back test framework with backtrader, database construct w…☆16Updated 2 years ago
- 实行gamma scalping策略时的期权组合选择工具☆15Updated 5 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- ☆15Updated 6 years ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆14Updated 4 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- for 18HS MFOEC198 Introduction to systematic risk premia strategies traded at hedge funds (L+E)☆13Updated 4 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 8 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- 量化FOF框架☆12Updated 5 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- 一些研报的复现☆12Updated 6 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 6 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- ☆14Updated 2 years ago
- ☆12Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- 基于streamlit的因子分析app☆55Updated 11 months ago
- 把回测从vnpy抽出来，换成py3.5的，把wind的数据写进mongodb，数据结构参考vnpy的，增加遗传算法对策略的回测☆39Updated 7 years ago
- Pairs Trading in CTA trending strategy backtesting, by iterateing parameters on the last 6 months and pick the optimal one, then start tr…☆11Updated 7 years ago
- ☆15Updated 3 years ago