Build a pair trading strategy for two related instruments using their price ratio. Measure how far the ratio moves from its recent average, generate opposite buying and selling signals, and close positions when the ratio returns near that average.
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Pair trading strategy. Trades mean reversion using the spread/ratio Z-score of two correlated instruments. Requires at least two instruments.
安装前可以查看交给 AI 代理的指令内容。
Select two highly correlated instruments (such as stocks from the same industry or BTC/ETH), monitor how far their price ratio (or spread) deviates from the mean, and trade against extreme deviations while waiting for mean reversion.
ratio = close_A / close_Bmean = ratio.rolling(lookback).mean(), std = ratio.rolling(lookback).std()z = (ratio - mean) / stdcodes array length = 2)leg1), and the second is B (leg2)| Parameter | Default | Description |
|---|---|---|
| lookback | 60 | Lookback window for mean and standard deviation |
| entry_z | 2.0 | Entry Z-score threshold |
| exit_z | 0.5 | Exit Z-score threshold |
config.json{
"source": "tushare",
"codes": ["601318.SH", "601628.SH"],
"start_date": "2023-01-01",
"end_date": "2024-12-31",
"initial_cash": 1000000,
"commission": 0.001,
"extra_fields": null
}
Cryptocurrency version:
{
"source": "okx",
"codes": ["BTC-USDT", "ETH-USDT"],
"start_date": "2024-01-01",
"end_date": "2024-12-31",
"initial_cash": 1000000,
"commission": 0.001,
"extra_fields": null
}
codes must contain exactly 2 instruments, no more and no lessNaN, so fill signals with 0pip install pandas numpy
0.5 = long, -0.5 = short, 0 = flat还没有评价。欢迎分享你的使用感受。
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Compare a Chinese company's US depositary receipts, Hong Kong shares, and mainland shares after adjusting for exchange rates and share ratios. Analyze pricing gaps, valuation differences, and delisting risks to support research into its different listings.
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Retrieve stock prices, futures quotes, exchange rates, and economic indicators with the free Python library AKShare. The skill explains market-specific functions, symbol formats, and data preparation for analysis and testing strategies against historical data.
中文简介正在准备中。当前显示英语简介。
Explore bundled libraries of investment factors, signals used to compare securities, and inspect individual formulas and metadata. Evaluate a factor or an entire library across a chosen universe and period, producing aggregate performance statistics and an HTML report.
中文简介正在准备中。当前显示英语简介。
Assess whether a Chinese A-share company may receive ST or *ST risk warnings next financial year. Review financial forecasts, dividends, audit opinions, and regulatory penalties, then report risk severity separately from confidence in the prediction.
中文简介正在准备中。当前显示英语简介。
Plan portfolio allocations across assets using risk, correlations, return forecasts, and trading costs. Compare five optimization methods, produce settings for config.json, and define rebalancing rules that adjust holdings back toward their target weights.
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Diagnose failed or abnormal backtests, which test trading strategies on historical data. Inspect result files, strategy code, and configuration to identify bugs, make targeted repairs, rerun tests, and verify the updated metrics.
中文简介正在准备中。当前显示英语简介。