GitHub - 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.

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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.

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Pairs Trading Strategy.ipynb - Colaboratory.pdf		Pairs Trading Strategy.ipynb - Colaboratory.pdf
Pairs_Trading_Strategy.ipynb		Pairs_Trading_Strategy.ipynb
price.csv		price.csv