/finm33150-spread-trading

Assignment 2 for FINM33150 and University of Chicago, Regression Analysis and Quantitative Trading Strategies

Primary LanguageJupyter Notebook

build status nbviewer

FINM33150 - Spread Trading Simulation

Dependencies

Create a virtual environment and install dependencies with

pipenv install

Overview

This assignment required developing a spread trading strategy involving two ETF securities. Below is a summary chart of an executed strategy.

Spread Trading Chart