This repository includes the Notebook, which entails the data analysis and algorithm(s), a seperate python file that is used to do the Engle-Granger cointegration test and a datafile.
The key to success in pairs trading lies in the identification of security pairs (Vidyamurthy, 2004). Therefore, first an analysis on the data provided is done in order to determine which pairs of stocks can be traded profitably. Thereafter, implement and backtest a trading strategy to trade the selected pairs. Final report on request.