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3 Commits

Author SHA1 Message Date
AlexCatarino 6fcb381c46 Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py 
The lookback period for one year should be 252, since one year has 252 trading days.
 2018-07-17 22:18:17 +01:00
AlexCatarino c59ff47ed7 Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm 
- Moves `PearsonCorrelationPairsTradingAlphaModel` class to its own file in order to make it available as a framework model.
- Follows existing pattern design that alpha models receive a lookback and a `Resolution` object.
- Algorithm implements `IRegressionAlgorithmDefinition`.
 2018-07-11 23:40:30 +01:00
AlexCatarino 6121236f20 Implements PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm 
This algorithm is an example on how to extend the `BasePairsTradingAlphaModel` to select a pair to trade based on pearson correlation.
 2018-07-11 23:40:29 +01:00