CUSUM Trading Strategy

Objective

• Use CUSUM techniques to trade securities

Data

• SPY,SPYV,SPYG,HSI daily adj. close from Yahoo Finance

Walk through the code

Part 1: EDA

• Step1: Download SPY,SPYV,SPYG,HSI daily adj. close
• Step2: Plot time series, cumulative, and kde of log-return

• Step3: Calculate basic statistics of log-return

Part 2: Implement CUSUM strategy on SPY vs HSI, SPYV vs SPYG

• Step1: Set length of the rolling window, trading period, cusum threshold
• Step2: Get the today's data and the last window-length data
• Step3: Calibrate parameters of the distribution functions
• Step4: Calculate cusum statistics
• Step5: Determine positions based on cusum statistics relative to the threshold
• Step6: Calculate the cumulative return
• Step7: Plot cusum statistics and cumulative return marked with trading signals

• Step8: Compare results of SPY vs HSI

• Step9: Compare results of SPYG vs SPYV

Output

• Report