Skip to content

codemath3000/StatArbBot

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

4 Commits
 
 
 
 
 
 
 
 

Repository files navigation

This notebook demonstrates a basic trading strategy using pairs trading and statistical arbitrage. It queries market data from the Polygon API and then uses that to generate candidate pairs of tickers. Those that show correlation are selected and backtested. This produces a Sharpe ratio of 2.1247, and the associated PnL graph is included in this repository.

About

A basic trading strategy using pairs trading and statistical arbitrage

Resources

Stars

Watchers

Forks

Releases

Packages

Contributors

Languages