Statistical-Arbitrage-Trading-Resources scanning code

AI & Machine learning
1

Statistical-Arbitrage-Trading-Resources I cannot find a binary pair in this course. tickers_list = ['AGHOL.IS', 'AKBNK.IS', 'AKCNS.IS', 'AKSGY.IS', 'AKSA.IS', 'AKSEN.IS', 'AKGRT.IS', 'ALGYO.IS' , 'ALARK.IS', 'ALBRK.IS', 'ALCTL.IS',

 'ALKIM.IS', 'AEFES.IS', 'ARCLK.IS', 'ASELS.IS', 'AYGAZ.IS','BAGFS.IS', 'BERA.IS', 'BIMAS.IS', 'BIZIM .IS', 'BRSAN.IS', 'BRISA.IS',

 'BUCIM.IS', 'CCOLA.IS', 'CEMTS.IS', 'CIMSA.IS', 'DEVA.IS', 'DOHOL.IS', 'DOAS.IS', 'EGEEN.IS', 'EGGUB .IS', 'ECILC.IS', 'EKGYO.IS',

 'ENJSA.IS', 'ENKAI.IS', 'EREGL.IS', 'FROTO.IS', 'GOODY.IS', 'GOZDE.IS', 'GSDHO.IS', 'GUBRF.IS', 'SAHOL .IS', 'HLGYO.IS', 'HEKTS.IS',

 'IHLGM.IS', 'INDES.IS', 'IPEKE.IS', 'ISDMR.IS', 'ISFIN.IS', 'ISGYO.IS', 'ISMEN.IS', 'KRDMD.IS', 'KARSN .IS', 'KARTN.IS', 'KERVT.IS',

 'KCHOL.IS', 'KONYA.IS', 'KORDS.IS', 'KOZAL.IS', 'KOZAA.IS', 'LOGO.IS', 'MAVI.IS', 'MGROS.IS', 'MPARK .IS', 'NTHOL.IS', 'NETAS.IS',

 'ODAS.IS', 'OTKAR.IS', 'OYAKC.IS', 'OZKGY.IS', 'PGSUS.IS', 'PETKM.IS', 'PNSUT.IS', 'SASA.IS', 'SELEC .IS', 'SKBNK.IS', 'SOKM.IS',

 'TATGD.IS', 'TAVHL.IS', 'TKFEN.IS', 'TOASO.IS', 'TRGYO.IS', 'TCELL.IS', 'TUPRS.IS', 'THYAO.IS', 'TTKOM .IS', 'TTRAK.IS', 'GARAN.IS',

 'HALKB.IS', 'ISCTR.IS', 'TSKB.IS', 'TURSG.IS', 'SISE.IS', 'VAKBN.IS', 'ULKER.IS', 'VERUS.IS', 'VESTL .IS', 'YKBNK.IS', 'YATAS.IS',

 'ZOREN.IS'] Can you please write a scanning code that will scan these stocks and find the most suitable pair of stocks?

2

Hi Durdu,



As i understand you want to identify pairs for a pairs trading startegy. To do this you need to carry out the following steps:

  • Analyse and pair the asset with another asset with a similar sector, market cap, daily traded volumes, etc
  • Then check the correlation between the selected pairs and their respective sector
  • Then check for cointegration between the pairs using the ADF test



    The steps mentioned above have been explained in the detail in Section 2 Unit 9 of the Statistical Arbitrage course and the Python implementation of the strategy is covered in Section 4 Unit 5 of the same course.



    In case you face any issues while carrying any of the steps, you can let us know the issue that you are facing and we'd happy to help you out!



    Thanks

    Rushda