Here is a real life example from Gary Chan sharing the way he started running Algorithmic Pair Trading strategies. Its a pretty old video taken from NYC Algorithmic Trading Meetup. It is a must watch if you are algo trading enthusiast and willing to start your game.
Gary Chan gave keynote talk – in this clip he explains his motivation for sharing his work in a public meetup forum:
In this video Gary chan points out the examples he used for what his definitions of Easy vs. Hard are. Spoiler alert: Getting into Harvard is hard. Opening a successful restaurant is hard. Algorithmic trading is (by comparison) easy.
Gary walks through his trading infrastructure and toolkit:
Finally Gary shares the results of his actual backtests results on his Portfolio Pair Trading:
You can view the full slide deck from Gary’s presentation here: