├── PairsTrading.ipynb
├── README.md
└── requirements.txt


/README.md:
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 1 | # Pairs Trading With Python
 2 | 
 3 | This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equity markets: Pairs Trading.
 4 | 
 5 | ![Pairs Trading](https://kidquant.com/post/images/Trading_Signals.png)
 6 | 
 7 | ## Goal
 8 | 
 9 | Our goal involves the following:
10 | 
11 | * **Part 1**: Creating a model that test for stationarity.
12 | * **Part 2**: Creating a model that test for cointegration.
13 | * **Part 3**: Assigning a portfolio of assests and testing for a cointegrated pair among the dataset.
14 | * **Part 4**: Establishing features and labels that will allow us to create trading signals for the strategy.
15 | 
16 | ## Data
17 | 
18 | I used the data from [Yahoo Finance](https://finance.yahoo.com/), which provides historical financial data for free. This data was extracted via the [yFinance](https://pypi.org/project/yfinance/) Python module.
19 | 
20 | ## Enviroment and Tools
21 | 
22 | The following are the modules we will use in this notebook. However, the program relies on many more dependencies than what is shown here. Please be sure to set up a virtual enviroment and install the [requirements.txt](https://github.com/KidQuant/Pairs-Trading-With-Python/blob/ad5c42fa2aedc1ab30e9028aa816df8e950cc010/requirements.txt) file before running this programming on your own.
23 | 
24 | 1. Jupyter NoteBook
25 | 2. Numpy
26 | 3. Pandas
27 | 4. Matplotlib
28 | 5. Seaborn
29 | 6. Statsmodels
30 | 7. Pandas DataReader
31 | 8. DateTime
32 | 9. yFinance (formally known as `Fix Yahoo Finance`)
33 | 


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/requirements.txt:
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 1 | asttokens==2.0.8
 2 | backcall==0.2.0
 3 | certifi==2022.9.24
 4 | charset-normalizer==2.1.1
 5 | colorama==0.4.5
 6 | contourpy==1.0.5
 7 | cycler==0.11.0
 8 | debugpy==1.6.3
 9 | decorator==5.1.1
10 | docopt==0.6.2
11 | entrypoints==0.4
12 | executing==1.0.0
13 | fonttools==4.37.3
14 | idna==3.4
15 | ipykernel==6.15.3
16 | ipython==8.5.0
17 | jedi==0.18.1
18 | jupyter-client==7.3.5
19 | jupyter-core==4.11.1
20 | kiwisolver==1.4.4
21 | lxml==4.9.1
22 | matplotlib==3.6.0
23 | matplotlib-inline==0.1.6
24 | multitasking==0.0.11
25 | nest-asyncio==1.5.5
26 | numpy==1.23.3
27 | packaging==21.3
28 | pandas==1.5.0
29 | pandas-datareader==0.10.0
30 | parso==0.8.3
31 | patsy==0.5.2
32 | pickleshare==0.7.5
33 | Pillow==9.2.0
34 | prompt-toolkit==3.0.31
35 | psutil==5.9.2
36 | pure-eval==0.2.2
37 | Pygments==2.13.0
38 | pyparsing==3.0.9
39 | python-dateutil==2.8.2
40 | pytz==2022.2.1
41 | pywin32==304
42 | pyzmq==24.0.1
43 | requests==2.28.1
44 | scipy==1.9.1
45 | seaborn==0.12.0
46 | six==1.16.0
47 | stack-data==0.5.0
48 | statsmodels==0.13.2
49 | tornado==6.2
50 | traitlets==5.4.0
51 | urllib3==1.26.12
52 | wcwidth==0.2.5
53 | yarg==0.1.9
54 | yfinance==0.1.74
55 | 


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