配对交易最完整指南+在加密货币市场实现一个pairs trading案例！
本篇文章的第一部分我们再认识一遍配对交易的原理，第二部分我们来看看配对交易在不同市场（期货、股票、数字货币、外汇）的表现，第三部分我们来看一个加密货币上配对交易的实现案例。
配对交易个性档案
配对交易诞生于1980年的摩根斯坦利，交易员Nunzio Tartaglia和他的团队第一次实现了配对交易（这帮人后来创立了two sigma)。
但是在此之前，就有大佬使用过配对交易了，他就是利弗莫尔，用肉眼观察同类资产表现然后做单。
配对交易（pairs trading）是一种主流的高频交易策略，属于统计套利的一种，具体做法是①先找到两种走势高度相关的资产，他俩的价差总是维持在一个恒定的数值 ②发现两种资产出现了定价错误，两者价差扩大 ③做空一种资产，做多另一种资产，期望他们的价差会回归到常态。
在之前的公众号文章里，我们有讲过配对交易，带你走一遍量化交易全过程：配对策略的python实现选择了澳大利亚ETF（EWA）和加拿大ETF(EWC)两组资产，它俩的价格走势看上去亦步亦趋。
下面这个例子也演示了一种配对交易的玩法：图1是两组资产的价格走势，图2是两组资产的价差变化。两种资产的价格走势高度相关，且价差维持在一个相对稳定的差值。但是方框中两种资产的价格出现了扭转，打破了以往的规律，这时候我们就可以通过做多资产一，做空60%的资产二来实现配对策略。
配对交易的背后原理就是投机的本质，买入低估资产，卖出高估资产：
buy undervalued and sell overvalued
要知道一个资产是被高估还是低估，我们必须要知道它的真实定价(fair value)是多少，但是得知真实定价是一个很棘手的问题。而配对交易利用价格相关性，轻松解决了这个问题。
如果两种资产有相同的特征和风险暴露，那么我们可以认为它倆的价格走势也相似，我们并不需要知道资产的真实定价，只用关注两者价格走势之间的关系(或者收益率之间的相关性）—两者价格的差值或者比值应该维持在某个恒定的值，如果价差扩大，可能是其中一种资产价格被高估，另一种资产价格被低估。因此配对交易也是一种市场中性策略，赚不赚钱和市场涨跌无关。
严格的配对交易流程有3个步骤。
第1步：通过协整性检验和距离度量等方法确定两组高度相关的资产（简而言之，如果两组资产价格的比值倾向于收敛到一个数值，这两者就有高度协整性）
要注意协整性和相关性是不同的，比如下面X和Y两组数据，左图是X和Y的价格走势，右图是X和Y的价差，这两组数据虽然是高度相关的，但是没有协整性。
第2步：确保市场中性和最大化均值回归的原则下，对两者的价差进行建模。
第3步：制定具体的交易策略。在具体策略的制定环节，要着眼于市场的微观结构，对价格波动、价差、订单薄、交易量流动性等等进行细节上的考量。
不同市场的配对交易
因为可选择的品种多，所以权益市场一直是配对交易者最喜欢的战场，当然，大宗商品、外汇甚至加密货币等市场也是很好的选择，这些市场都有大量关于统计套利盈利能力的支持性研究。
权益市场&ETF市场
Jacobs和Weber在34个新兴股票市场中使用了配对策略，证实了配对策略是最具盈利能力的策略。
但是在股票市场做配对交易，有一个非常大的限制，那就是卖空很不自由。卖空需要抵押物，还需要找到愿意把股票借给你拿去卖的人。有些市场有严格的做空限制，比如规定只有在股价上涨时才允许卖空股票。
期货市场
卖空期货没有卖空股票那么多限制。配对交易毕竟是高频交易的一种，对速度和仓位大小要精确计算，所以要很准确的原始数据来对模型回测。有一些配对交易还需要考虑到合约规模和隐含波动率来确定合适的对冲比率。
https://luckboxmagazine.com/techniques/pairs-trading-with-futures/
上面连接里的这篇文章，举了黄金和白银期货配对交易的例子，文中详细讲了如何根据隐含波动率和合约规模来设置对冲比率（合约规模：一个白银合约对应5000盎司的白银，而一个黄金合约只对应100盎司的黄金）。
外汇市场
外汇市场最大的问题是流动性问题，这个问题可以通过用流动性好的货币充当媒介来解决。比如说当做澳元/加元的配对交易时，因为澳元/加元的流动性并不好，所以同时开澳元/美元，美元/加元的单子，这种配对交易被叫做“合成配对交易（synthetic pairs）”。
加密货币市场
在小时间级别的市场无效性很明显，存在大量的套利机会。现在的加密货币市场可选择的品种越来越多。
加密货币的配对交易实现
我们从Bitfinex获取7个币种从2018–01–01到2018–05–31的数据：
然后对这些币种的协整性做假设检验，得到p-value：
import statsmodels.tsa.stattools as ts
test_result = ts.coint(crypto_prices[a1], crypto_prices[a2])
print(a1 + ' and ' + a2 + ': p-value = ' + str(test_result[1]))当p值小于阈值，则拒绝原假设，即两个品种间不存在协整性。现在我们找到了2个品种A和B，接下来构建策略。
BTCUSD and ETHUSD: p-value = 0.06576979804268955
BTCUSD and LTCUSD: p-value = 0.07347140678450967
BTCUSD and XMRUSD: p-value = 0.021570889424181703
BTCUSD and NEOUSD: p-value = 0.10239483419041967
BTCUSD and XRPUSD: p-value = 0.00900122457399106
BTCUSD and ZECUSD: p-value = 0.16378128244807538
ETHUSD and BTCUSD: p-value = 0.31796015423321283
ETHUSD and LTCUSD: p-value = 0.609075825185015首先计算A和B一段时期的收益率之差：
计算z-score：
然后制定开仓规则，当z-score大于小于某个分位时，分别对A和B开多空头寸，这里直接用代码讲解：
def initialize(context):
# A和B是用于配对交易的2个品种
context.A = symbol('xmr_usd')
context.B = symbol('neo_usd')
context.leverage = 1.0 # 1.0 - 没有杠杆
context.n_modelling = 144 # 用于建模的回溯k线数量
context.tf = str(30) + "T" # 一个时间窗口里有多少分钟？1 - 1分钟；60 - 1小时
# 确定进出场z-score阈值，这里用到了st.norm.ppf函数
context.z_signal_in = st.norm.ppf(1 - 0.05 / 2) # 开仓的z-score阈值
context.z_signal_out = st.norm.ppf(1 - 0.60 / 2) # 平仓的z—score阈值
context.min_spread = 0.01 # 允许的最小收益率之差
context.set_commission(maker = 0.000, taker = 0.000) # 定义手续费，这里都没有手续费
context.set_slippage(slippage = 0.0000) # 定义滑点，这里没有滑点
def handle_data(context, data): # 数据处理函数
current_time = get_datetime().time()
# 获取数据
A = data.history(context.A,'price',bar_count = context.n_modelling,frequency = context.tf)
B = data.history(context.B,'price',bar_count = context.n_modelling,frequency = context.tf)
# 计算收益率，计算收益率的差spread，计算z-score
A_return = A.pct_change()
B_return = B.pct_change()
spread = A_return - B_return
# 计算z-score的标准差
zscore = (spread.iloc[-1] - spread.mean()) / spread.std()
# 平仓
# 当持有B的空头头寸，z-score >= 平仓阈值时，平仓
if context.portfolio.positions[context.B].amount < 0 and zscore >= -context.z_signal_out:
order_target_percent(context.A, 0.0)
order_target_percent(context.B, 0.0)
# 当持有B的多头头寸，z-score <= 平仓阈值时，平仓
if context.portfolio.positions[context.B].amount > 0 and zscore <= context.z_signal_out:
order_target_percent(context.A, 0.0)
order_target_percent(context.B, 0.0)
# 开仓
# 当前的spread > 允许的最小收益率之差，这一步的作用是让spread高于往返交易成本，不至于让交易成本吃掉利润
if (abs(spread[-1]) >= context.min_spread):# and np.sign(A_return[-1] * B_return[-1]) < 0:
# 当zscore > 开仓阈值时，用50%的资金做空A，用50%的资金做多B
if context.portfolio.positions[context.B].amount == 0 and zscore > context.z_signal_in:
order_target_percent(context.A, -0.5 * context.leverage)
order_target_percent(context.B, 0.5 * context.leverage)
# 当zscore < -开仓阈值时，用50%的资金做多A，用50%的资金做空B
if context.portfolio.positions[context.B].amount == 0 and zscore < -context.z_signal_in:
order_target_percent(context.A, 0.5 * context.leverage)
order_target_percent(context.B, -0.5 * context.leverage)
record(
A_return = A_return[-1],
B_return = B_return[-1],
spread = spread[-1],
zscore = zscore
)最后，策略的表现与交易次数和spread非常相关，我们可以把开平仓的z-score阈值设置的大一点，同时把spread_min也就是最小收益率之差设置的大一点，通过调整这两个参数来改进策略的表现。
加密货币和外汇市场有不少配对交易的机会，但是别忘了配对交易仍然属于高频的一种，要长期盈利还是得上规模。
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But what many do argue about is which deadlift variation deserves the top spot in your train arsenal.
There’s the usual type of the barbell deadlift—but also contemplate one other variation that makes use of a barbell, the Romanian deadlift (otherwise generally recognized as the RDL).
The exercise is a posterior chain powerhouse, which lets you target muscles in methods its basic counterpart can’t
match. The deadlift and Romanian deadlift (RDL) are related exercises with crucial distinctions.
Our romanian deadlift requirements are based mostly on 188,000 lifts by Power Stage users.
The glutes are concerned through the hip extension when standing,
and the spinal help muscles help preserve posture.
If you’ve back ache, it’s best to consult with a healthcare professional earlier
than trying deadlifts.
Bear In Mind, fitness is a journey, and discovering the proper exercises in your physique and objectives may
require some experimentation. So, don’t be afraid to attempt completely different variations and strategies to find
what works greatest for you. Whether Or Not you choose to focus on the Romanian Deadlift or the Deadlift, each exercises
have the potential to take your leg strength and overall health to new heights.
The Romanian Deadlift is particularly efficient for hamstring and glute development.
It helps to enhance hip extension, which is crucial for various athletic movements, similar to jumping and sprinting.
Moreover, the RDL can enhance posterior chain power and improve hamstring
flexibility. You should feel a stretch in your hamstrings when the weights are below your knees.
The movement includes lifting the weight
from the ground by driving by way of the legs and lengthening the hips,
whereas maintaining a straight back and braced core.
The Deadlift engages a wider vary of muscle tissue, including the quadriceps, lower again, and trapezius.
When it comes to leg-strengthening workout routines, the Romanian Deadlift (RDL) and the Deadlift are two well-liked choices that usually come up in health discussions.
Bounce performance and bone mineral density are just
some of the various advantages of deadlift and Romanian deadlift workout routines.
However, it could be very important observe that harm prevention and
rehabilitation also needs to be a precedence in relation to power coaching.
By following the correct form and avoiding widespread errors,
people can maximize the advantages of these exercises and forestall any potential accidents.
It is crucial to begin out with lighter weights and steadily enhance the weight as one turns into more comfortable
with the exercise.
Secondarily, conventional deadlifts interact the traps, forearms, lats, calves, and
adductors. By adhering to those safety tips and avoiding widespread errors, you presumably can carry out deadlifts successfully
and safely, leading to elevated strength and muscle gains while minimizing
the chance of harm. Newbie pleasant variations of deadlift and Romanian deadlift exist, but correct
kind and progression are essential. Benefits for intermediate lifters embody elevated muscle mass,
energy, and damage prevention. There are various exercises that may help
stop accidents and assist in rehabilitation, including
deadlift and Romanian deadlift variations.
It is also really helpful for newbies to begin with the RDL until
correct Deadlift form is mastered, and for superior lifters to incorporate the Deadlift for continued strength gains.
Deadlifts and Romanian deadlifts are two well-liked variations of
the deadlift exercise in weightlifting. While they share some similarities,
such because the hip hinge motion and engaging multiple muscle teams, there are additionally
vital variations between the 2. In this article
from PowerliftingTechnique.com, the creator discusses the form, benefits,
and differences of the deadlift and Romanian deadlift to help athletes maximize their power
and muscle features.
Once you nail down the technique and see the load going up, it feels fairly great to see those massive loads come off the ground.
Let’s dive into the Romanian deadlift vs. the conventional deadlift.
While the above list may seem like the Romanian deadlift has extra conditions by which it’s
the extra best choice, this does not make it better.
The Romanian deadlift (RDL) and the single-leg deadlift (SLDL) are two
popular workouts that concentrate on the hamstrings,
glutes, and decrease again. Both are efficient at building strength and bettering athletic efficiency, however they’ve some key differences.
Understanding these differences can help you decide which train is best for you.
The quest for a sculpted and powerful decrease physique
is a common aim for so much of fitness lovers. Two workouts that constantly make their way into workout
routines are the Romanian deadlift (RDL) and lunges. Each actions effectively target the hamstrings, glutes, and
quads, but they differ of their mechanics and overall benefits.
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