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First attempt at pairs trading

I'm assuming my results are mostly luck, and have very little to do with anything fancy I did (although 250% return in 5 years is not too shabby).

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5514917127c94c0d437ff3f5
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6 responses

Nice algo! I'm curious, could you explain why you have a warm-up period? What data is the algo accumulating here?

If you need a trailing window of prices, use the history() function. This will have the price data available on the first bar the algo starts trading.
So you could do:

prices = history(60, '1d', 'price')  

Then to get a specific stock's price history you can index into the dataframe by doing,

stock_price = history(60, '1d', 'price')[stock]  

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I was completely unaware of the history() function. With that, the warmup period is completely unnecessary.
Thank you!

Thanks for sharing this. Just started reading and this explained a lot to me.

I'm definitely new to a lot of these concepts, but I'm enjoying experimenting on quantopian to see if I can apply what I'm learning.

Just stumbled on this what is interesting is how well it does start of 2015 on.

I tried to backtest this with 30k amount but it was making orders worth around 300k. I'm not sure if I'm missing something?