Minimum Profit Optimization #19
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Description Implementations in this module are based on the following paper: Lin, Y.-X., McCrae, M., and Gulati, C. (2006). Loss protection in pairs trading through minimum profit bounds: A cointegration approach.Journal of Applied Mathematics and Decision Sciences, 2006(1):1–14. Puspaningrum, H., Lin, Y.-X., and Gulati, C. M. (2010). Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique. Journal of Statistical Theory and Practice, 4(3):391–419. Implemented features are: Simulate AR(1) processes in batch Simulate cointegrated time series pairs in batch Calculate cointegration coefficient based on either Engle-Granger or Johansen test Fit the AR(1) coefficient of cointegration error Calculate optimal preset upper-bound and minimal total profit for cointegrated pairs trading strategy Trade the strategy based on the optimal parameters Dependency: mlfinlab.statistical_arbitrage Type of change New feature (non-breaking change which adds functionality) This change requires a documentation update How Has This Been Tested? This unit tests file was created to test the added functions: test\test_minimum_profit.py Test Configuration: Windows 10 PyCharm Checklist: My code follows the style guidelines of this project I have performed a self-review of my own code I have commented my code, particularly in hard-to-understand areas I have made corresponding changes to the documentation My changes generate no new warnings I have added tests that prove my fix is effective or that my feature works New and existing unit tests pass locally with my changes Any dependent changes have been merged and published in downstream modules
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PanPip
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The theoretical part of the docs is good. We might want to add a bit more details on the trading process, optimization steps, and how the MTP behaves on the empirical data (sent you a pdf with notes).
I'm still looking for a way to remove the Return type section in the new sphinx docs.
Added trading simulation class. Added tqdm progress bar for optimization. Added plot function for cointegration simulation. Changed name for simulation class.
…/arbitragelab into minimum_profit
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@Stochastic-Adventure Also, please remember to update the changelog. |
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Description
Implementations in this module are based on the following papers:
Implemented features are:
Dependency:
Type of change
How Has This Been Tested?
This unit tests file was created to test the added functions:
Test Configuration:
Checklist: