Pair Trading Notebook

This repository contains my personal research notebooks for backtesting pair trading strategies. There are three main notebooks:

1. Preliminaries – Downloads Binance price data and performs cointegration-correlation tests to identify the best pair combinations.
2. Gridsearch – Runs backtests and performs a grid search to find the optimal parameters for entry and exit strategies.
3. Bidask – Runs backtests while considering bid-ask spreads (incomplete).

Concept Overview

Installation

To use these notebooks, you will need:

• Python 3.10 (or later)
• Jupyter Notebook

Additionally, make sure to clone the Binance public data repository into this folder:

git clone https://github.com/binance/binance-public-data.git

Don’t forget to create a .env file with the following contents:

BINANCE_API_KEY=
BINANCE_API_SECRET=

Todo

• Complete the Bidask notebook