pair-trading-view

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pair-trading-view

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

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# Pair Trading View

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

**[ PairTradingView.WpfApp ]**

## How To

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

- 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](LICENSE)

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