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Pair Trading Strategy

trying to find two similar stocks in the same sector. in this case, I used pepsi and coca cola. It can be goog/microsoft, or exxon/chevron....
basically we do is long one stock that we think is under valued and short another stock that we think are over valued at the same time. This can limit our exposure to the overall market conditions.
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Hey @xiaojiao,

If you're intested in pairs trading I'd highly recommend researching cointegation. In short, cointegration is a property of time series variables that move together. Imagine that sometimes (maybe earnings) KO/PEP may not move together, but much of the time they probably do. Testing for the strength of cointegration can give the algorithm an idea as to how likely they are to move together in the future.
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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.


I have a friend in my trading meetup that has been working on a similar project for a couple of years. He watches a couple of hundred pairs that have a high degree of cointegration and trades those that diverge by 2 stddev and waits for mean reversion.
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Hello, any code around for Pairs trading? Thank you.
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Hello Everyone.. I Joined up looking for this same strategy.. would appreciate any help with the no. days Lookup used for determining the STDEV...Like used minute by minute data or Daily CLose of the Stock
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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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