Pairs Trading using Co-integrated Cryptocurrency Pairs

Summary

An attempt to implement a trading strategy on co-integrated cryptocurrency pairs by making a pair trade when there is a temporary divergence, to sell the outperforming currency and to buy the underperforming currency.

Analysing whether this trading strategy will work and what are the considerations to achieve better performance.

Data

Data are downloaded from the cryptocurrency exchange Binance.

Notebooks

1. Downloading cryptocurrency data from Binance
2. Pairs Trading Strategy and Analysis

References

1. https://medium.com/swlh/retrieving-full-historical-data-for-every-cryptocurrency-on-binance-bitmex-using-the-python-apis-27b47fd8137f
2. https://medium.com/auquan/pairs-trading-data-science-7dbedafcfe5a