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I am interested in testing strategy with trades pairs that are cointegrated and enter/exit based on stochastic signals. The steps are 1) find cointegrated pairs within a universe, e.g., stocks in S&P 500, 2) calculate stochastic for the stocks in the pair, and buy or sell the pair if one is overbought and the other is oversold based on stochastic. I found some tutorials around cointegration while there are missing pieces. Is there example for such a model or how to build one? Thanks!
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Varad Kabade
Hi L Y,
You can refer to this strategy in our strategy library, which investigates two pairs of trading methods (Co-integration, Copula). This could be a good starting point as it contains an exemplary quality implementation of the above strategies.
Best,
Varad Kabade
L Y
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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