Pair Trading View

Pair Trading View is an application for the visual analysis of synthetic financial instruments based on statistical models.

[ PairTradingView.WpfApp ]

<p align="left"> <img width="700" alt="pic" src="https://github.com/dv-lebedev/PairTradingView/blob/master/screenshots/mainwindow.png"> </p>

How To

• Execute PairTradingView.exe in 'pair-trading-view\PairTradingView.WpfApp\bin\Debug\net8.0-windows'.

<p align="left"> <img width="270" alt="pic" src="https://github.com/dv-lebedev/PairTradingView/blob/master/screenshots/appstart.png"> </p>

• Set the 'Price' column.
• Put CSV files with historical data into the 'pair-trading-view\PairTradingView.WpfApp\bin\Debug\net8.0-windows\csv-files' folder.
• Press 'Load Data From Files'.
• Press 'Calculate'.
• Enter the balance and risk, and select pairs in the table using checkboxes or by double-clicking.

Model

• SI -> synthetic index
• s -> share
• fp -> financial pair
• fp_tv -> financial pair's trade volume
• fp_w -> weight of financial pair

SI_t = ( s1_t + s2_t + s3_t + ... + sn_t ) / n

SI = α + β * fp + err

Financial pair's weight has reverse dependency of β.

fp_w = (1 / (1 + abs(β))) / Σ(fp_w)

fp_tv = balance * fp_w

Calculate trade volume for each share:

fp_tv = x_tv + y_tv

y = α + β * x + err

w = 1.0 / (1.0 + abs(β)

x_tv = fp_tv * w * abs(β)

y_tv = fp_tv * w

License

Apache 2.0