Running an algo that produces a 1(buy) or 0(don't buy). Regressing the signal to the 1 month returns gets me this information coeffecient with p-value.
stats.spearmanr(trade_signal, returns(t+1))
SpearmanrResult(correlation=0.10973707695978797, pvalue=0.087827598637704313)
Is this p-value too low?
if I change it to a 1 year rolling return the results are much more significant, but is this correct?
Any help is much appreciated.
Joe
This is much easier in pipeline.
spy_correlations = RollingSpearmanOfReturns(
target=sid(8554), returns_length=5, correlation_length=21,
)
This would give you the spearnman with rolling means of 5 days over 1 month of days traded.
If you have only a few assets. You can use StaticAssets and select only a few assets.
Not quite sure if it is what you are looking for.
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