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I am interested in testing strategy with trades pairs that are cointegrated and enter/exit based on stochastic signals. The steps are 1) find cointegrated pairs within a universe, e.g., stocks in S&P 500, 2) calculate stochastic for the stocks in the pair, and buy or sell the pair if one is overbought and the other is oversold based on stochastic. I found some tutorials around cointegration while there are missing pieces. Is there example for such a model or how to build one? Thanks!
Varad Kabade
Hi L Y,
You can refer to this strategy in our strategy library, which investigates two pairs of trading methods (Co-integration, Copula). This could be a good starting point as it contains an exemplary quality implementation of the above strategies.
Best,
Varad Kabade
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