mingsc / Pairs-Trading-with-Machine-Learning

Pair Trading Strategy using Machine Learning written in Python

Pairs-Trading-with-Machine-Learning

1. Implemented PCA and DBSCAN clustering to group SP500 stocks based on similar factor loadings
2. Identified pairs within clusters to implement dollar neutral Bollinger Band pairs trading strategy
3. Constructed portfolio with pairs equally weighted
   Result: This portfolio achieved has a 2.5 Sharpe ratio and 25% annual return in 2018.

Please refer to here for data: https://github.com/wangy8989/Pairs-Trading-with-Machine-Learning-on-Distributed-Python-Platform/blob/master/Capstone_Final_Yicheng_Wang.rar