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How do we calculate divergence, convergence and correlation for futures treasury spreads and futures price?
Any guidance would be appreciated.
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Derek Melchin
Hi Spacetime,
To calculate the correlation, we can store the history of the spreads and prices in a DataFrame and then call the corr method.
See the attached backtest for reference.
To measure convergence/divergence, we could use linear regression to find the slope of each variable and then compare the slopes to see if they converge or diverge.
Best,
Derek Melchin
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Spacetime
Derek Melchin ,Â
I appreciate your time and efforts provided in addressing my questions.Â
It is clearer now, so I will work on the rest on my own.
Thank You!
Spacetime
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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