visual tool for pairs trading used as a front-end to a Trading With Python set of algorithms
The tool should decrease the amount of work needed to find a tradeable spread, consisting of multiple legs (2 and up). Planned features
- easily get data from yahoo
- load and save portfolio combinations
- automatically generate portfolios using PCA
- browse through combinations
- tweak weights
- follow current positions
The general workflow should be:
- based on a list of symbols, use PCA to determine initial weights. Transform to a set of spreads based on principal components.
- chose a spread (portfolio) that looks interesting
- tweak the spread by adjusting weights manually and or adding and removing symbols, until it looks tradeable
- save the spread to a file for developing a trading strategy in a separate notebook.
At this moment the code is very much in early development phase. Don't expect anything to work, but you're welcome to fork :)