Engineering Alpha

Engineering Alpha

Creating a Rolling Correlation Scanner in Python.

Creating a Scanner to Detect Current & Past Correlation Readings.

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Sep 22, 2021
∙ Paid
www.pxfuel.com

Correlations across different assets and markets is crucial to determine any directional bias and trigger for a trade. If we have a buy signal on one asset and a sell signal on another, but yet they are almost perfectly correlated then we know that one of the signals is wrong because empirically, we have the information that they move toge…

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