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Pairs Trading Stocks Strategy (Python)
Published
Aug 7, 2025
1y ago
Total Downloads
758
758
Install
dotnet add package StockSharp.Strategies.0388_Pairs_Trading_Stocks.py --version 5.0.0
No framework information available.
README
Pairs Trading Stocks Strategy (Python Version)
This simplified pairs trading strategy operates on multiple stock pairs. For each pair the price ratio is tracked over a rolling window and its z-score is computed. When the z-score exceeds an entry threshold a long/short trade is opened; positions are closed when the z-score reverts.
The algorithm supports trading multiple independent pairs simultaneously.
Details
- Universe: list of stock pairs.
- Signal: z-score of price ratio crossing
EntryZ. - Exit: close when z-score reaches
ExitZ. - Data: daily candles with 60-day lookback by default.
- Risk control: trades skipped when order value below
MinTradeUsd.
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