This alpha model is designed to rank every pair combination by its pearson correlation and trade the pair with the hightest correlation This model generates alternating long ratio/short ratio insights emitted as a group More...
Public Member Functions | |
| PearsonCorrelationPairsTradingAlphaModel (int lookback=15, Resolution resolution=Resolution.Minute, decimal threshold=1m, double minimumCorrelation=.5) | |
| Initializes a new instance of the PearsonCorrelationPairsTradingAlphaModel class More... | |
| override void | OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes) |
| Event fired each time the we add/remove securities from the data feed More... | |
| override bool | HasPassedTest (QCAlgorithm algorithm, Symbol asset1, Symbol asset2) |
| Check whether the assets pass a pairs trading test More... | |
 Public Member Functions inherited from QuantConnect.Algorithm.Framework.Alphas.BasePairsTradingAlphaModel | |
| BasePairsTradingAlphaModel (int lookback=1, Resolution resolution=Resolution.Daily, decimal threshold=1m) | |
| Initializes a new instance of the BasePairsTradingAlphaModel class More... | |
| override IEnumerable< Insight > | Update (QCAlgorithm algorithm, Slice data) |
| Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities More... | |
| Public Member Functions inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel | |
| AlphaModel () | |
| Initialize new AlphaModel More... | |
Additional Inherited Members | |
| Properties inherited from QuantConnect.Algorithm.Framework.Alphas.BasePairsTradingAlphaModel | |
| HashSet< Security > | Securities [get] |
| List of security objects present in the universe More... | |
| Properties inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel | |
| virtual string | Name [get, set] |
| Defines a name for a framework model More... | |
| Properties inherited from QuantConnect.Algorithm.Framework.Alphas.INamedModel | |
| string | Name [get] |
| Defines a name for a framework model More... | |
Detailed Description
This alpha model is designed to rank every pair combination by its pearson correlation and trade the pair with the hightest correlation This model generates alternating long ratio/short ratio insights emitted as a group
Definition at line 30 of file PearsonCorrelationPairsTradingAlphaModel.cs.
Constructor & Destructor Documentation
◆ PearsonCorrelationPairsTradingAlphaModel()
| QuantConnect.Algorithm.Framework.Alphas.PearsonCorrelationPairsTradingAlphaModel.PearsonCorrelationPairsTradingAlphaModel | ( | int | lookback = 15, |
| Resolution | resolution = Resolution.Minute, |
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| decimal | threshold = 1m, |
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| double | minimumCorrelation = .5 |
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| ) |
Initializes a new instance of the PearsonCorrelationPairsTradingAlphaModel class
- Parameters
-
lookback Lookback period of the analysis resolution Analysis resolution threshold The percent [0, 100] deviation of the ratio from the mean before emitting an insight minimumCorrelation The minimum correlation to consider a tradable pair
Definition at line 44 of file PearsonCorrelationPairsTradingAlphaModel.cs.
Member Function Documentation
◆ OnSecuritiesChanged()
|
virtual |
Event fired each time the we add/remove securities from the data feed
- Parameters
-
algorithm The algorithm instance that experienced the change in securities changes The security additions and removals from the algorithm
Reimplemented from QuantConnect.Algorithm.Framework.Alphas.BasePairsTradingAlphaModel.
Definition at line 57 of file PearsonCorrelationPairsTradingAlphaModel.cs.
◆ HasPassedTest()
|
virtual |
Check whether the assets pass a pairs trading test
- Parameters
-
algorithm The algorithm instance that experienced the change in securities asset1 The first asset's symbol in the pair asset2 The second asset's symbol in the pair
- Returns
- True if the statistical test for the pair is successful
Reimplemented from QuantConnect.Algorithm.Framework.Alphas.BasePairsTradingAlphaModel.
Definition at line 93 of file PearsonCorrelationPairsTradingAlphaModel.cs.
The documentation for this class was generated from the following file:
- Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.cs
