Skip to Content
Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

StatArb data set

Let's first get the data set we will need to implement a StatArb trading strategy. For this section, we will use the following major currencies across the world:

  • Austrian Dollar versus American Dollar (AUD/USD)
  • British Pound versus American Dollar (GBP/USD)
  • Canadian Dollar versus American Dollar (CAD/USD)
  • Swiss Franc versus American Dollar (CHF/USD)
  • Euro versus American Dollar (EUR/USD)
  • Japanese Yen versus American Dollar (JPY/USD)
  • New Zealand Kiwi versus American Dollar (NZD/USD)

And for this implementation of the StatArb trading strategy, we will try to trade CAD/USD using its relationship with the other currency pairs:

  1. Let's fetch 4 years' worth of data for these currency pairs and set up our data frames:
import pandas ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

Irene Aldridge
Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

Sebastien Donadio, Sourav Ghosh, Romain Rossier

Publisher Resources

ISBN: 9781789348347Supplemental Content