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coint-tools's Introduction

Pair Trading Analysis & Exercises Toolkit for Jupyter Notebook

Use Cases

  • Pair Selection (Identify cointegrated pairs)
  • Download & save ticker data
  • Merge and manipulate data for detailed pair analysis
  • Analyze pairs , residuals, perform unit root & cointegration tests
  • Perform backtests, Visualize trade & profit distribution
  • PDF Summary Report:

Summary Report

Trades Visualization:

Summary Orders

Summary of Backtests:

Summary Backtests

Confidence Intervals:

Conf. Interval

Considerations

Considering for the next version:

  • live signal generator for selected strategies
  • analyze earnings & news effect to pair spread
  • outlier pruning
  • more training & testing sets

Requirements

  • arch==5.3.1
  • matplotlib==3.4.3
  • numpy==1.20.3
  • pandas==1.3.4
  • seaborn==0.11.2
  • statsmodels==0.12.2
  • yfinance==0.1.77
  • dataframe-image==0.1.3
  • fpdf==1.7.2
  • termcolor==2.0.1
  • plotly==5.10.0
  • pandas-ta==0.3.14b0

coint-tools's People

Contributors

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coint-tools's Issues

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