Defining StatArb signal parameters

Now, let's define and quantify some parameters we will need to define moving averages, price deviation from moving averages, history of price deviations, and variables to compute and track correlations:

import statistics as stats

# Constants/variables that are used to compute simple moving average and price deviation from simple moving average
SMA_NUM_PERIODS = 20 # look back period
price_history = {} # history of prices

PRICE_DEV_NUM_PRICES = 200 # look back period of ClosePrice deviations from SMA
price_deviation_from_sma = {} # history of ClosePrice deviations from SMA

# We will use this to iterate over all the days of data we have
num_days = len(symbols_data[TRADING_INSTRUMENT].index)
correlation_history = {} # history of correlations per currency pair
delta_projected_actual_history = {} # history of differences between Projected ClosePrice deviation and actual ClosePrice deviation per currency pair

final_delta_projected_history = [] # history of differences between final Projected ClosePrice deviation for TRADING_INSTRUMENT and actual ClosePrice deviation
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