I am new to writing trading strategies in python for equities. I have written everything from limit order imbalance (aggregation of several MMs books) to KNN reversion strategies. These we all on FX. I have no equity experience other than some daily trading that I am doing now. I am up but I think it is more luck than skill.
I would like to craft an equity strategy that does the following:
- Since qualified accounts can't short, I would like to make long only trades
- Choose negatively correlated pairs (right now say (AAL, AAPL) -0.952173 (AAL, GOOG) -0.956509 (AAL, AMZN) -0.968261)
- When AAL is a bargain buy it and same with GOOG
- Balance a basket of stocks with similar properties
My hope is that a back test in the last 5-20 days would should that long these stocks when one is underpriced is a winner.
Does anyone have a trading strategy that uses these ideas? Especially a back test.