First-Time Poster - Question About Get.History For Stat Arb

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First-Time Poster - Question About Get.History For Stat Arb

Michael Hernandez

posted

Seeking Help Getting Started Stat Arb

Hello Quantopian Community,

I've been researching this problem on the forums for a while, but have yet to find a solution.

What I'm looking to do is create a stat-arb system.

In this system, I'm looking to:

Filter-out stocks not within the 80th to 90th percentile of 5-day average daily volume [done once daily].
Take the remaining stocks and use pipeline to select the 5 highest correlated stocks [done once daily].
Generate summary statistics on those pairs based on the daily data [done once daily].
Generate summary statistics on those pairs based on minutely data [done every minute].
Determine entry and exit points based on the daily summary statistics and minutely summary statistics.

The main issue I'm having is Quantopian does not seem to be able to a) dynamically pick pairs [requirements 1 and 2] and b) generate summary statistics on a minutely basis in the same system [requirements 3 and 4].

Is there any way to accomplish what I want to do? Or is Quantopian unable to fulfill these requirements?

Thanks!

1 response

Hi Michael,

Thanks for posting. Correct me if I'm wrong, but it's problems 2 and 4 that seem to be the challenges here.

2 seems very difficult. It should technically be possible using a custom factor, but I would be really impressed to see anyone do it. In general, if you're looking for correlated pairs, I would recommend that you look using the Research environment, come up with some pairs that you want to try, and specify those for use in your algorithm.

Once you have the pairs, 4 isn't that difficult. Of course, you can't use Pipeline, but if you have the list of pairs for the day, you can get pricing data for them as normal every minute using data.current and data.history, and then calculate your statistics.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.