Tag: pairs-trading
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NumPy Vectorization Cuts Cointegration Test Time by 8x
Nested loops in cointegration tests killed my backtest speed. NumPy matrix ops cut 47 seconds to 5.8 seconds โ here's the exact vectorization pattern.
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Pairs Trading Is Dead (Unless You Know Where to Look)
Classic equity pairs trading is arbitraged out, but Kalman-filtered cross-asset pairs and multi-leg baskets still show alpha in these 3 markets.