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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.PythonTools.pyproj
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@@ -76,7 +76,6 @@
<Compile Include="FractionalQuantityRegressionAlgorithm.py" />
<Compile Include="FuturesMomentumAlgorithm.py" />
<Compile Include="HistoryAlgorithm.py" />
<Compile Include="HistoryAndWarmupRegressionAlgorithm.py" />
<Compile Include="HourReverseSplitRegressionAlgorithm.py" />
<Compile Include="HourSplitRegressionAlgorithm.py" />
<Compile Include="IndicatorSuiteAlgorithm.py" />
@@ -99,6 +98,7 @@
<Compile Include="OrderTicketDemoAlgorithm.py" />
<Compile Include="PairsTradingAlphaModelFrameworkAlgorithm.py" />
<Compile Include="ParameterizedAlgorithm.py" />
<Compile Include="PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py" />
<Compile Include="PythonPackageTestAlgorithm.py" />
<Compile Include="QCUWeatherBasedRebalancing.py" />
<Compile Include="QuandlFuturesDataAlgorithm.py" />