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Develop a statistical arbitrage strategy using pairs trading. The strategy identifies cointegrated asset pairs, estimates dynamic hedge ratios using Kalman filters, and generates trading signals based on mean reversion opportunities. The Kalman filter is formulated as a sequential decision process following Powell's Sequential Decision Analysis.
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13
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merge: baseline estable (visualize markers, costos, optimize) desde feat/kalman-costs-wf
f3b40a7View on GitHubcheckpoint: mejoras visuales + costos/flip + optimize objective; versión estable
fa01a2cView on GitHubChanges to stock list to incorporate 100 stocks plus running 100 scenarios on optuna to find the best kalman.
28ba048View on GitHubFinally got optuna to work. Added visualization for the top 5 pairs with the best pair selected for final graphs.
57f5d39View on GitHubFixed errors with pair selection and unrealistic beta drift.
8c36cc4View on GitHubVersion 2.0 corre correctamente pero no hemos optimizado con optuna.
bab6b12View on GitHubPasamos de tratar de usar el nasdaq 100 a usar una lista de 40 compañias vetadas por tener 15 años o más de información ya que nos dimos cuenta que nuestro par original no cumplia con esta restriccion.
3907fa6View on GitHub