Pairs Trading Strategy

This repository implements and backtests Distance, Cointegration, and Copulas Pairs Trading Strategies. The strategies are separated into distinct methods, each located in its respective folder within the Methods directory.

Installation

To install the required dependencies, run:

pip install -r requirements.txt

Visualization Notebooks

Detailed visualizations of the trading strategies are provided in Jupyter notebooks located in the root directory:

• 00_EvalBacktest.ipynb: Evaluation of backtest results for the strategies (In PROGRESS).
• 01_VisDistanceMethod.ipynb: Visualization of the Distance Method.
• 02_VisCointegrationMethod.ipynb: Visualization of the Cointegration Method.
• 03_VisCopulasMethod.ipynb: Visualization of the Copulas Method.

Methods

Implementation of trading strategies:

• DistanceMethod.py: Implements the Distance Method strategy.
• CointegrationMethod.py: Implements the Cointegration Method strategy.
• CopulasMethod.py: Implements the Copulas Method strategy.

Helper Functions

The repository provides helper functions organized in the Helpers directory:

• BacktestHelpers.py: Functions specific to backtesting the strategies.
• DataHelpers.py: Functions to handle and manipulate data.
• ModuleHelpers.py: General utility functions that support various aspects of the strategies.
• PlotHelpers.py: Functions that assist in plotting the outputs within the visualization notebooks.

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Note: The project is under development and not all components are final.