MAINT: Updated the basic pairs algo to match lecture.

yestechgroup · Oct 13, 2016 · 055a468 · 055a468
1 parent 2d3883c
commit 055a468
Showing 1 changed file with 4 additions and 5 deletions.
diff --git a/lectures/pairs_trading/basic_pairs.py b/lectures/pairs_trading/basic_pairs.py
@@ -1,9 +1,8 @@
 """
 This is a basic pairs trading algorithm for use at Quantopian Workshops.
-
+WARNING: THIS IS A LEARNING EXAMPLE ONLY. DO NOT TRY TO TRADE SOMETHING THIS SIMPLE.
 https://www.quantopian.com/workshops
 https://www.quantopian.com/lectures
-
 By Delaney Granizo-Mackenzie
 """
 import numpy as np
@@ -25,8 +24,8 @@ def initialize(context):
     context.exit_threshold = 0.1
 
     # Moving average lengths
-    context.long_ma_length = 60
-    context.short_ma_length = 10
+    context.long_ma_length = 30
+    context.short_ma_length = 1
 
     # Flags to tell us if we're currently in a trade
     context.currently_long_the_spread = False
@@ -84,4 +83,4 @@ def check_pair_status(context, data):
             context.currently_short_the_spread = False
             context.currently_long_the_spread = False
 
-        record('zscore', zscore)
+        record('zscore', zscore)