radium.pair package

Submodules

radium.pair.cadf_test module

radium.pair.cadf_test.cadf_test(pair)

Conducts a Cointegrated Augmented Dickey Fuller Test on a pair of equities.

Prints t-statistic, p-value and critical values

Parameters

pair (radium.Pair) –

Raises

TypeError – If pair is not of type radium.Pair.

radium.pair.johansen_test module

radium.pair.johansen_test.johansen_test(pair)

Conducts a Johansen Test on a pair of equities.

Print trace/eigenvalue statistics and critical values.

Parameters

pair (radium.Pair) –

Raises

TypeError – If pair is not of type radium.Pair.

radium.pair.pair module

class radium.pair.pair.Pair(equity1, equity2)

Bases: object

Class for a pair of equities.

price_spread

Price spread of equities for self.hedge_ratios

Type

float np.ndarray[]

equity1
Type

radium.Equity

equity2
Type

radium.Equity

start_date
Type

datetime.date

end_date
Type

datetime.date

hedge_ratios

Day-wise pairs of hedge ratios

Type

float np.ndarray[][2]

Initialise Pair class

Parameters
Raises

  • TypeError – If equity1 or equity2 is not of type radium.Equity.

  • ValueError – If equity1 and equity2 do not share any date ranges

budget(hedge_ratio, dec)

Calculates budget needed to buy integer number of equities.

Parameters

  • hedge_ratio (int np.ndarray[2]) – Hedge ratios of pair

  • dec (int) – Number of decimals to truncate to

Returns

budget – Budget needed rounded to 2 d.p.

Return type

float

Raises

  • TypeError – If hedge_ratio isnt a list of floats, or dec isnt an integer.

  • ValueError – If hedge_ratio isn’t length 2 or dec < 0.

hedge(method, lookback)

Calculates the hedge_ratios given a method and lookback and stores it in self.hedge_ratios

Parameters

  • method (str) – Method for calculating hedge ratios (‘ols’)

  • lookback (int) – Number of signals to lookback on when calculating hedge ratios

Raises

  • TypeError – If method isn’t a string. If lookback isn’t an integer.

  • ValueError – If lookback <= 0. If method isn’t available.

Notes

Available methods: ‘OLS’

plot_closed(start_date=None, end_date=None)

Plots closed prices of both equities between two dates as a line graph

Parameters

  • start_date ((optional) str or datetime or datetime.date) – First date to plot in YYYY-MM-DD form, defaults to equity start date

  • end_date ((optional) str of datetime or datetime.date) – Last date to plot in YYYY-MM-DD form, defaults to equity end date

Raises

ValueError – End date is same as or before start date

plot_price_spread()

Plots price spread of the pair given hedge_ratios

Raises

Exception – If self.hedge_ratios is not defined.

property price_spread

Price spread of equities for self.hedge_ratios

Raises

TypeError – If self.hedge_ratios isn’t defined.

Notes

Spread calculated using y = h1*y1 + h2*y2.

Type

float np.ndarray[]

Module contents