Here is a quick implementations of a pairs trading algo. Are there any suggestions for improvements (better hedging) etc? The results also seem a bit low so can anybody see any bugs because I can't find any to squash!
The logic is as such:
For the securities in the security list, compute a z score. If it is greater/less than 1 we do a pairs trade. If we are in a trade and it falls below 0.8 we close the trade.
Comments very much appreciated!
Cheers,
Max
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