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Course "Introduction to systematic investment strategies", Pairs Trading Energy Stocks V1
  • Universe: 26 energy stocks
  • Algo permutes the stocks continuously
  • There are 4 Parameters which can be seen as adjustable barriers (look back window & p-value, entry and exit threshold)
  • Cointegration of the pairs is determined
  • Z-Score is used
  • Hedge ratio is calculated with OLS-method