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Hi QC community!
please find a simple Pair Trading algo working daily based on the Bollinger bands of the ratio. Entry at extreme, exit at the mean, it allows to catch some trend effect by only taking partial profit at first. It is meant to trade “many” pairs and avoid "too much" concentration.
It has a persistence model for live trading but still requires some work for dealing with splits and dividends live.
It's just a framework since the most difficult it to find pairs whcih require (for me) extensive data mining outside of QC.
Lots of todos but if people are interested I can update as I go… any constructive criticism is welcome
CarlosEspeleta
Very interesting AlphAngel . Any updates on this strategy? Have you traded it live?
Thank you
AlphAngel
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