Identifying cointegrated pairs in a Sector

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Identifying cointegrated pairs in a Sector

Aingaran Somaskandarajah

edited

Guys,

I was playing around with identifying cointegrated pairs in MatLab with a large Algo that screened all potential combinations of pairs in the NYSE. However, I couldn't replicate the results in Q. Probably because my data source (Yahoo!) was not as accurate or my MatLab and/or Python skills were poor.

So I turned my attention to see if I could dynamically identify pairs in a Sector using Q. After playing around for a few months I came across Pravin's algo here: https://www.quantopian.com/posts/questions-on-trading-cointegrated-pairs

I am taking the concepts from that Algo and am trying to make it generic to cover all sectors. However, the algorithm seems to take too long to screen and is exiting as it is taking up too much time in the handle_data() method. I have currently set it up to use only one Sector (Energies) as per Pravin's implementation and am using the same search Query and Combination logic.

What am I doing wrong/different to Pravin's implementation?

In order to replicate the behaviour that I am seeing you have to change the following on line 21 from...

   context.fetch_prices = False

to...

   context.fetch_prices = True

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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.