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Update statarb using PCA (now with cloning)

This notebook was previously shared with the community by beginner. I've re-created it in order to make it clone-able to others who are interested in playing with it.

For those of you with research, if you want to try it out, click the "Clone Notebook" button below.

You can view the previous post here.


I tried to implement the famous paper https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdf

Can a generous soul cross check the notebook implementation because when I backtest this strategy it is not profitable? The paper is easy to understand.

Best regards,
Beginner

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2 responses

Can't wait to check this out when I return to the computer. Thanks !

So, what did it happen with it?