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Is it possible to implement a complete pairs trading forex strategy?

Adf test for cointegration supported by Python libraries, time series analysis like Arima or Garch, standard deviation and volatility calculation, trading rules related to z score crossing thresholds ecc...are all these features available on Quantconnect?

Thank you very much to all, best regards.

 

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A community member has implemented a pairs trading strategy a time ago. It does not have ADF test for cointegration which is not necessary if we assume a pair is cointegrated like KO and PEP.

Concerning python libraries, we have been working on python support that will enable the use of those (our current solution based on IronPython does not).

 

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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.


Precious information, thank you very much. One more question: What Python libraries are implemented for use on QuantConnect? In the quickstart guide are listed only C sharp libraries.

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And what about C sharp? I suppose your considerations will be the same in a stat arb based strategy, even if there are more econometrics libraries implemented. Sorry for taking advantage of your time.

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Since we are still working on python support that enables third party libraries, we are not listing their libraries. Once it is available, we will let the community know.

I am not sure about what you mean on your second post...
Unfortunatelly, the C# libraries we support don't have economitries tools. If you have a library you want added please let us know - support@quantconnect.com.

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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.


In my second post i was just talking about C sharp libraries implemented, i'm new in C#. Thank you very much.

 

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If you want to find the hedge ratio you can use linear regression, which is available in Math.Net and can be used in QuantConnect. You would probably determine which pairs cointegrate outside of the strategy (where you can use the adf test in R or python)

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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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