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Micromanage Pair Trading Algorithm

I am currently attempting to write a Pair Trading Algorithm based on the Johansen Test. Using order_target_percent each of the pairs in the algorithm below worked without any problems. But when I calculate the orders directly there seems to be some error. I would highly appreciate it if someone would take a look.

1 response

Did you ever find a solutions on this one? Have you tried trading triples with the Johansen test?