Back to Community
Most Efficient Way to Iterate Through Pairs?

Hi all,

I'm new to Quantopian and its pipeline system and was wondering if someone could help me out!

I want to create an algorithm that will iterate through all pairs of stocks looking for pairs to use in a typical pairs trading algorithm. Is the best way to do this simply to create a pipeline with all relevant data, and then manually iterate through each pair in the resultant data frame? Or is there a more efficient way to compare pairs directly in the pipeline? I'm worried about performance/memory issues.

Any advice would be much appreciated.

2 responses

Maybe take a look at these two posts. The first focusses on how to reduce the number of pairs to analyze.
https://www.quantopian.com/posts/pairs-trading-with-machine-learning
https://www.quantopian.com/posts/pipeline-pair-cointegration-notebook-3700-cointegrated-pairs

Thanks for the links!