Name | Pacakage | File |
---|---|---|
Pandas | All Files | |
Matplotlib | LSPort.py | |
PuLP | LSPair.py |
Long Short Pair Backtesting Tool (still in development) see testing.ipynb for example. Built on top of LSPair, future development will also develop streamlit-based downstream web-facing GUI like LSPair Streamlit Repo LSPair Streamlit link
Weighting and Beta Matching Portfolio Beta exposure, comparative returns and portfolio cumulative returns
The code's beta optimization may not be solvable within 100% fully funded (no leverage) positions and thus there is a 10% mininum holding per each name. We can see that happen when we run this pair.
Also this idea comes from some of my other work on Long Fallen Angels. You can find the repo here