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Implements PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm

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This algorithm is an example on how to extend the `BasePairsTradingAlphaModel` to select a pair to trade based on pearson correlation.
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AlexCatarino
2018-07-09 19:06:33 +01:00
parent 6dbe83d0be
commit 6121236f20
5 changed files with 220 additions and 1 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -38,6 +38,7 @@
<ItemGroup>
<Content Include="BasicTemplateOptionsFrameworkAlgorithm.py" />
<Compile Include="Properties\AssemblyInfo.cs" />
<None Include="PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py" />
</ItemGroup>
<ItemGroup>
<None Include="AddRemoveSecurityRegressionAlgorithm.py" />