配對交易策略的虛擬碼是什麼？

我正在嘗試了解配對交易策略。我知道我們必須同時做多和做空協整資產。但是我仍然對策略的運作方式有些困惑。我為我認為的配對交易策略編寫了虛擬碼？

x=price data of asset x
y=price data of asset y
if x and y are correlated and cointegrated

calculate pair ratio(spread) x/y or y/x?
calculate average of pair ratio(spread)

    if spread > mean
    sell asset ?
    buy asset ?
    else spread < mean
    sell asset ?
    buy asset ?
    close if

else

find new pair of assets x and y
go to line 1 with new x and y

close if

在這裡，我將配對比率（x/y 或 y/x）作為價差？我的第一個問題是我應該採用 x/y 或 y/x 哪個配對比率？

如果我認為x/y是分散的，那麼我應該做什麼buy，sell如果spread>mean。

如果我對配對交易虛擬碼的評估有誤，請隨時糾正我。

以下連結很好地總結了典型的配對交易策略：

https://www.quantstart.com/articles/Backtesting-An-Intraday-Mean-Reversion-Pairs-Strategy-Between-SPY-And-IWM

它實際上也有完整的 python 程式碼。但它不包括協整檢查。

編輯：

if X and Y are cointegrated:
   calculate Beta between X and Y 
   calculate spread as X - Beta * Y
   calculate z-score of spread

   # entering trade (spread is away from mean by two sigmas):
   if z-score > 2:
       sell spread (sell 1000 of X, buy 1000 * Beta of Y)
   if z-score < -2:
       buy spread (buy 1000 of X, sell 1000 * Beta of Y)

   # exiting trade (spread converged close to mean):
   if we're short spread and z-score < 1:
       close the trades
   if we're long spread and z-score > -1:
       close the trades

# repeat above on each new bar, recalculating rolling Beta and spread etc.

引用自：https://quant.stackexchange.com/questions/28039