File size: 3,569 Bytes
fce236e | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 | import pandas as pd
import numpy as np
import itertools
import logging
from utils import cluster_universe, rolling_cointegration_test, half_life
logger = logging.getLogger(__name__)
class PairSelector:
"""
From a universe of assets, cluster similar ones, then within each cluster
run rolling cointegration tests. For stable pairs, compute static hedge ratio
via OLS and half‐life of the spread.
"""
def __init__(
self,
prices: pd.DataFrame,
cluster_size: int = 20,
coint_pval_threshold: float = 0.05,
rolling_window: int = 252,
rolling_step: int = 63,
min_valid_periods: int = 2
):
"""
:param prices: DataFrame of asset prices (aligned), columns = tickers.
"""
self.prices = prices
self.returns = prices.pct_change().dropna()
self.cluster_size = cluster_size
self.pval_threshold = coint_pval_threshold
self.rolling_window = rolling_window
self.rolling_step = rolling_step
self.min_valid_periods = min_valid_periods
def select_pairs(self) -> pd.DataFrame:
"""
Returns a DataFrame with columns: [ticker1, ticker2, beta_ols, half_life_days].
Only includes pairs that pass the rolling cointegration test.
"""
# 1) Cluster the universe
clusters = cluster_universe(self.returns, self.cluster_size)
selected = []
for cluster_id, tickers in clusters.items():
if len(tickers) < 2:
continue
logger.info(f"Testing cluster {cluster_id} with {len(tickers)} tickers.")
# For each unique pair in that cluster:
for t1, t2 in itertools.combinations(tickers, 2):
s1 = self.prices[t1]
s2 = self.prices[t2]
# 2) Rolling cointegration test
try:
is_coint = rolling_cointegration_test(
s1, s2,
window=self.rolling_window,
step=self.rolling_step,
pval_threshold=self.pval_threshold,
min_valid_periods=self.min_valid_periods
)
except Exception as e:
logger.warning(f"Cointegration test failed for {t1}-{t2}: {e}")
continue
if not is_coint:
continue
# 3) Compute static OLS hedge ratio on full period
# Solve s1 = alpha + beta*s2 + eps
X = np.vstack([np.ones(len(s2)), s2.values]).T
y = s1.values
ols_beta = np.linalg.lstsq(X, y, rcond=None)[0][1]
# 4) Compute half-life of spread
spread = s1 - ols_beta * s2
hl = half_life(spread)
# 5) Save if half-life is finite and reasonable (< window)
if np.isfinite(hl) and hl > 0 and hl < self.rolling_window:
selected.append({
"ticker1": t1,
"ticker2": t2,
"beta_ols": ols_beta,
"half_life": hl
})
logger.info(f"Selected pair {t1}-{t2}: beta={ols_beta:.4f}, half-life={hl:.1f} days.")
if not selected:
logger.warning("No cointegrated pairs found in the universe.")
return pd.DataFrame(columns=["ticker1", "ticker2", "beta_ols", "half_life"])
return pd.DataFrame(selected)
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