anehrani / statistical-arbitrage-pairs-trading-strategy Goto Github PK

This project forked from anthonyli01/statistical-arbitrage-pairs-trading-strategy

On-going project: I will be implementing a combination of pairs trading strategies in attempt to see which type performs best after backtesting. The main ideas involve cointegration, kalman filter, copulas, and machine learning approaches. Since it is a market-neutral strategy, we will analyse the performance on its alpha rather than sharpe ratio.