feizei2008 / tick_mean_reversionLinks
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
Sorting:
- 用SVM构建高频交易策略☆13Updated 5 years ago
- Channel break out strategy for High Frequency Trading.☆14Updated 7 years ago
- verify OrderBook Tick Data Trading Strategy on futures.☆15Updated 6 years ago
- 一些研报的复现☆12Updated 6 years ago
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- 基于聚宽平台,探索分钟级的高频交易☆33Updated 5 years ago
- Just another backtester☆20Updated 6 months ago
- Derive order flow from Tick and Trade data.☆32Updated 3 years ago
- 量化交易策略-多行业协整配对交易策略☆25Updated 7 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- Alpha研究平台☆20Updated 3 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
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 7 years ago
- 实行gamma scalping策略时的期权组合选择工具☆16Updated 6 years ago
- Use machine learning to trade bitcoin.☆10Updated 4 years ago
- 学习vnpy框架写的一些测试代码☆17Updated 8 years ago
- 量化FOF框 架☆13Updated 6 years ago
- Quant finance Portal based on project BearAlpha. This project contains strategy back test framework with backtrader, database construct w…☆17Updated 2 years ago
- ☆15Updated 3 years ago
- for 18HS MFOEC198 Introduction to systematic risk premia strategies traded at hedge funds (L+E)☆13Updated 4 years ago
- 多因子选股框架☆23Updated 4 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
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆16Updated 4 years ago
- ☆15Updated 6 years ago
- Backtrader量化策略研报复现☆30Updated 3 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 5 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- factorset: 提供中国A股市场因子集合,包含各类常用及特异因子计算方法,持续更新中。提供轻量级因子计算框架,高可扩展。持续更新中。☆40Updated 7 years ago
- Trend Prediction for High Frequency Trading☆42Updated 2 years ago