Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]
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Updated
Nov 3, 2023 - Jupyter Notebook
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engle-granger
Here are 4 public repositories matching this topic...
An emerging asset class, the recent surge of popularity in crypto markets has made cryptocurrencies an essential part of investment portfolios for retail and institutional investors. As prices for cryptocurrencies continue to break previous highs, the race is on for investors to develop a trading strategy that can take advantage of the high vola…
python machine-learning trading-strategies cointegration-strategy crypto-markets pairs-trading-strategy vector-error-correction-model engle-granger
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Jan 22, 2023 - Jupyter Notebook
Open-source cointegration & pairs-trading research package: CLI + tests + CI; Engle–Granger/Johansen, OU/ECM diagnostics, and walk-forward backtests with cost/benchmark controls..
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Jan 19, 2026 - Python
Statistical arbitrage engine that screens S&P 500 pairs using Engle-Granger and Johansen cointegration tests, fits Ornstein-Uhlenbeck dynamics via MLE, and trades spreads with a Kalman filter hedge ratio. Includes a walk-forward backtest with monthly pair re-screening, continuous position carry-over, and a full performance dashboard.
python numpy pandas quantitative-finance algorithmic-trading kalman-filter cointegration pairs-trading time-series-analysis ornstein-uhlenbeck backtesting statistical-arbitrage mean-reversion sp500 johansen-test engle-granger walk-forward-validation hedge-ratio
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Jun 12, 2026 - Jupyter Notebook
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