ETF trading strategy
Pair trading strategy.
SPY-QQQ pair trading
Pair trading strategy for SPY and QQQ. The research and backtesting of the strategy can be accessed here.
This strategy is a very basic form of a type of stratiegies called pair trading. In this I have tried to find a correlation primiarily and once I extablished that. I developed a strategy to invoke my code to backtest the strategy on quantopian.
Details about the files:
- SPX_QQQ_corr.ipynb (jupyter notebook) and SPX_QQQ_corr.py (python) files are the scource code to analyse the correlation between SPY and QQQ. Also, the analysis was done on quantopian platform notebook so you might encounter issues with few function whilst using the code on any python IDE.
- SPY_QQQ_pairtrading_quantopian file is the source code for backtesting the strategy on quantopian.
Anyone who’d like to access this project through quantopian to view the risk parameters, please click on the https://www.quantopian.com/posts/spy-and-qqq-pair-trading.
Please feel free to use it and I sincerely, welcome suggestions and imporovements on the strategy.