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mhallsmoore / qstrader

QuantStart.com - QSTrader backtesting simulation engine.
https://www.quantstart.com/qstrader/
MIT License
2.79k stars 842 forks source link

How should a pair/pool trading strategy be implemented? #369

Closed Aaimek closed 5 months ago

Aaimek commented 2 years ago

Hi,

First of all, thank you for your work on this great advanced tool. I am new to it and I am wondering how a basic pair trading mean-reversion trading strategy should be implemented. From the examples provided with the library and my reading of the source code, I didn't manage to get my head around how it could properly be implemented.

Help from anyone would be much appreciated, If progress is made I would be happy to share a re-implementation of the code in this article if it is ever useful to anyone.

Cheers

Aaimek commented 2 years ago

This could be done by passing the prices of the assets as signals to the AlphaModel and then run the real signal logic in there, but this doesn't look right to me. I wil maybe try to do this

datatalking commented 2 years ago

Hi @Aaimek Let me know if you want help in working on that, I'm rebuilding a large chunk of my code this summer and this repo has good stuff so far.