Pairs Trading With Python

This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equity markets: Pairs Trading.

Pairs Trading

Goal

Our goal involves the following:

  • Part 1: Creating a model that test for stationarity.
  • Part 2: Creating a model that test for cointegration.
  • Part 3: Assigning a portfolio of assests and testing for a cointegrated pair among the dataset.
  • Part 4: Establishing features and labels that will allow us to create trading signals for the strategy.

Data

I used the data from Yahoo Finance, which provides historical financial data for free. This data was extracted via the Fix Yahoo Finance Python module.

Enviroment and Tools

  1. Jupyter NoteBook
  2. Numpy
  3. Pandas
  4. Matplotlib
  5. Seaborn
  6. Statsmodels
  7. Pandas DataReader
  8. DateTime
  9. yFinance (formally known as Fix Yahoo Finance)