Bapi-Reddy / pairstrading

Pairs Trading code to go along with my livestream

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Pairs Trading

This is the code that goes along with a live stream. More info in goals.txt

Live Stream Part 1

In P1 I coded the basic strategy and explained how it works. At the end of part one, we have a graph that shows the buy and sell signals based on changes in correlation.

Pairs Trading Results

Live Stream Part 2

In P2 I connected the strategy to a basic backtesting algorithm. At first it showed promise boasting a 2% return, then after factoring in slippage and other real world factors the strategy lost it's alpha.

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Pairs Trading code to go along with my livestream


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