Most Efficient Way to Iterate Through Pairs?

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Most Efficient Way to Iterate Through Pairs?

Wahoo Strategies

posted Nov 21, 2017

API Seeking Help Pairs Trading

Hi all,

I'm new to Quantopian and its pipeline system and was wondering if someone could help me out!

I want to create an algorithm that will iterate through all pairs of stocks looking for pairs to use in a typical pairs trading algorithm. Is the best way to do this simply to create a pipeline with all relevant data, and then manually iterate through each pair in the resultant data frame? Or is there a more efficient way to compare pairs directly in the pipeline? I'm worried about performance/memory issues.

Any advice would be much appreciated.

2 responses

Maybe take a look at these two posts. The first focusses on how to reduce the number of pairs to analyze.
https://www.quantopian.com/posts/pairs-trading-with-machine-learning
https://www.quantopian.com/posts/pipeline-pair-cointegration-notebook-3700-cointegrated-pairs

Wahoo Strategies

Thanks for the links!

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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.