arbitragelab.trading.z_score

Module for signal generation for Bollinger Bands Trading strategy.

Module Contents

Classes

BollingerBandsTradingRule

This class implements Bollinger Bands strategy from the book
class BollingerBandsTradingRule(sma_window: int, std_window: int, entry_z_score: float = 3, exit_z_score_delta: float = 6)

This class implements Bollinger Bands strategy from the book by E.P Chan: “Algorithmic Trading: Winning Strategies and Their Rationale”, page 70. The strategy generates a signal by when |z_score| >= entry_z_score and exit from a position when |z_score| <= |entry_z_score + z_score_delta|.

static get_z_score(spread_slice: collections.deque, sma_window: int, std_window: int) → float

Calculate z-score of recent spread values.

Parameters:

  • spread_slice – (deque) Spread deque to take values from.

  • sma_window – (int) Window for SMA (Simple Moving Average).

  • std_window – (int) Window for SMD (Simple Moving st. Deviation).

Returns:

(float) Z score.

update_spread_value(latest_spread_value: float)

Adds latest spread value to self.spread_series. Once it is done - one can check entry/exit signals.

Parameters:

latest_spread_value – (float) Latest spread value.

check_entry_signal() → tuple

Function which checks entry condition for a spread series based on self.z_score_entry, self.spread_series.

Returns:

(tuple) Tuple of boolean entry flag and side (if entry flag is True).

add_trade(start_timestamp: pandas.Timestamp, side_prediction: int, uuid: uuid.UUID = None)

Adds a new trade to track. Calculates trigger prices and trigger timestamp.

Parameters:

  • start_timestamp – (pd.Timestamp) Timestamp of the future label.

  • side_prediction – (int) External prediction for the future label.

  • uuid – (str) Unique identifier used to link label to tradelog action.

update_trades(update_timestamp: pandas.Timestamp) → list

Checks whether any of the thresholds are triggered and currently open trades should be closed.

Parameters:

update_timestamp – (pd.Timestamp) New timestamp to check vertical threshold.

Returns:

(list) List of closed trades.