Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[ncube]

Dear ncube,
I fewdays before I replaced stockdata file which shared by checkmate ...Its same which I used before but more scrips in it....only today I noticed that there is some error in showing date on pair chart ....please guide me...is it due to increased scrips?

View attachment 30033

@VJAY , The first column of the new sheet should be dates, looks like it is not dates in the replaced file.

 

[VJAY]

@VJAY , The first column of the new sheet should be dates, looks like it is not dates in the replaced file.

no its same nothing changed in new file only added new scrips...anyway will check once again EOD

 

[VJAY]

no its same nothing changed in new file only added new scrips...anyway will check once again EOD

View attachment 30044

problem solved ...its due to some incomatible of excell file ........

 

[angira]

download bhavcopy file manually and you can use code shared by ncube to update stockdata file.....

thanx VJAY,
I've run the code but ok I'll tried it again and then see.

 

[gcnikamm]

Guys, Just wrote a python code to update the master file with the daily nse bhavcopy file. Please add the following codes to the PairTrading.ipynb

1. Add the following function into the cell with other functions:
def update_eod(df,eodfile):
eod = pd.read_csv(eodfile, header=None,index_col=[0],usecols=[0,5])
df = df.append(eod.T).dropna(axis=1).reset_index(drop=True)
df.to_csv('C://stockdata.csv')
return df
2. Add a new cell after after the cell which reads the master file and add the following python statement
df = update_eod(df,'C://eod.txt')

View attachment 27044

How it works:
1. Every day download the EOD NSE bhavcopy text file and rename it as eod.txt, place it in the same folder as master file.
2. Next time you run the PairTrading.ipynb it will append the master file with the eod.txt content and overwrite the master file with updated data.

Hope this helps..Enjoy Pair Trading..

Dear,
when i followed this step, i am getting these error. Please help me to come out of it.
regards
Bindu

 

[ncube]

Pair Trades for 20-07-2020:

Parameters: 1,27,10,2.37,29000

 

[VJAY]

Pair Trades for 20-07-2020:

View attachment 43530

Parameters: 1,27,10,2.37,29000

View attachment 43533

Dear ncube,
Looks like you made developments in code ...what's this parameter showed here?

 

[ncube]

Dear ncube,
Looks like you made developments in code ...what's this parameter showed here?

Hi Vijay, no I have not made any changes, its the same I have been running for last many years and have also used earlier in this thread. However this particular trades that I have taken today is slightly advanced as instead of waiting for 2 stocks to generate signal I have induced stationarity by combining multiple stocks at different ratios to generate the signal. This is the next level in pair trading and I have briefly explained this concept somewhere in one of my earlier posts, however one would need to have good programming skills to code this logic.

The parameters are backtest levels for my reference when the trade is active and it gives me the levels when to close the trade for either profit or loss instead of just waiting till the end of day.

This post is just for my reference and will not be of much help to others, I am temporarily using this thread to post the trades as my pc got crashed over the weekend and I have again lost the blog journal I maintain in my local PC. I am now looking for some online solutions.

 

[ncube]

Pair Trade Result - 20-07-2020: -1.8% at 5x leverage.
Pair Trades for 21-07-2020: (1,29,9,1,1,10,19569)


Result for 21-07-2020: +4.85% at 5X leverage. (parameter range 14380-28600)

 

[VJAY]

Hi Vijay, no I have not made any changes, its the same I have been running for last many years and have also used earlier in this thread. However this particular trades that I have taken today is slightly advanced as instead of waiting for 2 stocks to generate signal I have induced stationarity by combining multiple stocks at different ratios to generate the signal. This is the next level in pair trading and I have briefly explained this concept somewhere in one of my earlier posts, however one would need to have good programming skills to code this logic.

The parameters are backtest levels for my reference when the trade is active and it gives me the levels when to close the trade for either profit or loss instead of just waiting till the end of day.

This post is just for my reference and will not be of much help to others, I am temporarily using this thread to post the trades as my pc got crashed over the weekend and I have again lost the blog journal I maintain in my local PC. I am now looking for some online solutions.

Thanks for detailed reply ncube.....you can use Google Blog to keep journal...I too lost my previous years journals due to PC crash....now am using Google Blog for keeping my journal...