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Pair trading algorithm on QTradableStocksUS with order_optimal_portfolio


Here are the backtest results. The algo is trading every 15 minutes on the QTradableStocksUS, constantly updating pairs list.

Unfortunately, it does not survives slippage and comissions model...

For the eyes only...

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1 response

Hi Mathieu,

Your daily turnover is very high because you trade every 15 minutes, without slippage and commissions, you accumulate and compound small returns that won't survive real trading. Besides, I am not sure that the Q backtest framework is really geared toward intraday trading. My suggestion is to change to daily frequency and see if you lower the turnover it will survive friction costs. Hope this helps.