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First-Time Poster - Question About Get.History For Stat Arb

Hello Quantopian Community,

I've been researching this problem on the forums for a while, but have yet to find a solution.

What I'm looking to do is create a stat-arb system.

In this system, I'm looking to:

  1. Filter-out stocks not within the 80th to 90th percentile of 5-day average daily volume [done once daily].
  2. Take the remaining stocks and use pipeline to select the 5 highest correlated stocks [done once daily].
  3. Generate summary statistics on those pairs based on the daily data [done once daily].
  4. Generate summary statistics on those pairs based on minutely data [done every minute].
  5. Determine entry and exit points based on the daily summary statistics and minutely summary statistics.

The main issue I'm having is Quantopian does not seem to be able to a) dynamically pick pairs [requirements 1 and 2] and b) generate summary statistics on a minutely basis in the same system [requirements 3 and 4].

Is there any way to accomplish what I want to do? Or is Quantopian unable to fulfill these requirements?


1 response

Hi Michael,

Thanks for posting. Correct me if I'm wrong, but it's problems 2 and 4 that seem to be the challenges here.

2 seems very difficult. It should technically be possible using a custom factor, but I would be really impressed to see anyone do it. In general, if you're looking for correlated pairs, I would recommend that you look using the Research environment, come up with some pairs that you want to try, and specify those for use in your algorithm.

Once you have the pairs, 4 isn't that difficult. Of course, you can't use Pipeline, but if you have the list of pairs for the day, you can get pricing data for them as normal every minute using data.current and data.history, and then calculate your statistics.


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