Objective

This milestone aims to significantly enhance our pair trading strategy through a series of focused developments, including the creation of a monitoring dashboard, conducting foundational and advanced pair trading studies, applying kdb+ tick architecture, and implementing a dynamic stock pair selection mechanism. The goal is to improve the strategy's performance, scalability, and operational efficiency.

Tasks

• Dashboard for Monitoring Pair Trading
  • Develop a real-time dashboard to monitor key metrics and performance indicators of the pair trading strategy.
• Basic Study of Pair Trading Using Linear Regression
  • Conduct a foundational analysis using linear regression to identify potential stock pairs.
• Advanced Study Using Kalman Filter
  • Implement Kalman Filter for dynamic hedge ratio adjustment to enhance strategy accuracy and profitability.
• Apply kdb+ Tick Architecture
  • Utilize kdb+ tick architecture for efficient data handling and process optimization across the trading system.
• Dynamic Selection of Top Performing Stock Pairs
  • Develop an algorithm for the dynamic selection and ranking of the best-performing stock pairs based on real-time data.

Review and Adjustments

• Progress will be reviewed weekly with the project team to ensure alignment with the overall strategy and objectives.
• Adjustments to the tasks or objectives may be made based on feedback and findings during the development process.