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Job for university seminar: Pairs trading on energy sector

In this job my purpose is to make a good algorithm for pairs trading on energy sector.
Firstly i created a notebook for find the eligible pairs in energy sector on E500US universe.
After the notebook it is possible to find the algo.
The Algo is based on Ernest Chan Pairs Trading Algo.

4 responses

The Algo

Another Algo with Mean reversion process

This is the second version of the algo above.
I add to this algo:
- Cash limit (no cash in portfolio no invest);
- added the "log info" for a better information on the enter and exit positions.

This is the final version of my Algo on Pairs Trading.
In this version I set a weighted percentage for make the orders.
Thanks to this solution I managed to invest without ever going under my initial capital.