EM51641/PCA-and-pair-trading-strategy-

Warning:This algorithm is provided for general illustrative purposes only and does not constitute an investment advice.

PCA-and-pair-trading-strategy

This algorithm is designed to work on the QuantConnect platform and use statistical arbitrage to make trades using an up-to-date universe of the SP500 index replication (named QC500).

Reference :

https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdf