In this article I describe how my backtested algorithm can be used in live algorithmic trading. My broker provides me with the TWS (Trader WorkStation) API which is the solution that I use to build my trading application.
I have developed a trading algorithm that was able to land me on the top 10 list of Quantopian’s algo trading contest. In this article I describe the details of my algorithm.
This is a generic Notebook, similar to the one Pair Trading GLD and GDX, where I am going to pair trade two securities. The backtesting also includes broker fees. All I have to do is adjust my input parameters such as ticker symbols and dates. The algorithm then fetches the 10 year historical price data […]
When the correlation between the two securities temporarily weakens, i.e. one stock moves up while the other moves down, the pairs trade would be to short the outperforming stock and to long the underperforming one, betting that the “spread” between the two would eventually converge. The divergence within a pair can be caused by temporary […]
In this research I am going to test whether the price series of two securities GLD (Gold Price) and GDX (Gold Miners Equity ETF) are cointegrated. This is crucial if we want to develop a pair trading strategy around those two securities. I want to test if the spread between the two series is stationary […]