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Hello QuantConnect Community!
We have written a version of the algorithm from the BootCamp lesson “Pairs Trading with SMA” using the Classic Framework. In this version, we control the weight, and the exit rule (reverse to the mean) in contrast with the Framework version that left these responsibilities to the Portfolio Construction Model. This is a simpler example that can easily be extended to other asset classes.
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There are examples of pairs trading in the QuantConnect forum. Here are a few discussions that might be of interest:
Newbie Part 2: In this discussion, Alexandre Catarino, an investor at QuantConnect, explains the concept of pairs trading and attaches a simple pairs trading algorithm.
Trading Pairs Crypto: This discussion revolves around implementing a pairs trading strategy for cryptocurrencies.
Is it possible to implement a complete pairs trading forex strategy?: In this thread, users discuss the possibility of implementing a complete pairs trading strategy for forex.
Intraday Pairs Trading Based on Correlation and Cointegration: This discussion focuses on an intraday pairs trading strategy based on correlation and cointegration.
Share-Class Pairs Trading: In this thread, users discuss a share-class pairs trading algorithm.
Best regards,Alex
Alexandre Catarino
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