New answers tagged pairs-trading
In no particular order here are some ideas to get you started. Liquidity (ADV, # of shares, etc) Cost Basis (Cost to put on a trade) Back test / Cross validation P-values
Yes, that can be really sophisticated even using such nice tools as pandas. But the basic idea is to find position enters & exits to derive cashflow. Here is my code to derive all that stuff from generated signals (in my backtester signals are fractions of 2 stocks in portfolio for each moment). I hope I've found all bugs here, but no warranties. ...
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