quantrocket-codeload / pairs-pipeline
Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for cointegration using the Johansen test, then runs in-sample backtests on all cointegrating pairs, then runs an out-of-sample backtest on the 5 best performing pairs.
☆35Updated 11 months ago
Alternatives and similar repositories for pairs-pipeline:
Users that are interested in pairs-pipeline are comparing it to the libraries listed below
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- ☆24Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- ☆18Updated 8 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 3 months ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- ☆58Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆37Updated 2 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆41Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- ☆39Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated 11 months ago
- ☆49Updated 4 years ago
- ☆50Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago