Pairs Trading With Python
This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equity markets: Pairs Trading.
Goal
Our goal involves the following:
- Part 1: Creating a model that test for stationarity.
- Part 2: Creating a model that test for cointegration.
- Part 3: Assigning a portfolio of assests and testing for a cointegrated pair among the dataset.
- Part 4: Establishing features and labels that will allow us to create trading signals for the strategy.
Data
I used the data from Yahoo Finance, which provides historical financial data for free. This data was extracted via the Fix Yahoo Finance Python module.
Enviroment and Tools
- Jupyter NoteBook
- Numpy
- Pandas
- Matplotlib
- Seaborn
- Statsmodels
- Pandas DataReader
- DateTime
- yFinance (formally known as
Fix Yahoo Finance)