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Update statarb using PCA (now with cloning)
Karen Rubin
posted Jun 12, 2015

This notebook was previously shared with the community by beginner. I've re-created it in order to make it clone-able to others who are interested in playing with it.

For those of you with research, if you want to try it out, click the "Clone Notebook" button below.

You can view the previous post here.

I tried to implement the famous paper https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdf

Can a generous soul cross check the notebook implementation because when I backtest this strategy it is not profitable? The paper is easy to understand.

Best regards,
Beginner

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2 responses
James Miller
Jun 15, 2015

Can't wait to check this out when I return to the computer. Thanks !

matteo diana
Dec 5, 2017

So, what did it happen with it?

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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.