Jay-Jay-D

# /etc/security/limits.conf

#<domain>      <type>  <item>         <value>
root             hard    nofile      999999
root             soft    nofile      999999
root             hard    core            -1
root             soft    core            -1
root             hard    data            -1
root             soft    data            -1
root             hard    fsize           -1

Jay-Jay-D

print('Hello world')

Jay-Jay-D

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,

Jay-Jay-D

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Securities;
using QuantConnect.Securities.Forex;
using System;
using static System.Diagnostics.Debug;

namespace QuantConnect.Algorithm.CSharp
{

Jay-Jay-D

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,

Jay-Jay-D

using MathNet.Numerics;
using MathNet.Numerics.Distributions;
using MathNet.Numerics.Statistics;
using System;
using System.Collections.Generic;
using System.Linq;

namespace Optimization
{
    public class DeflatedSharpeRatio

Jay-Jay-D

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,

Jay-Jay-D

def cointegration_test(df_data, start_date=None, end_date=None, verbose=False):
    """This method test for correlation and cointegration all the combinations
     of stocks in the period defined by start_date and end_date.
     
     Following the paper "High Frecuency and Dynamic Pairs Trading Based on
     Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach",
     the method first test if the correlation has a pearson coefficient bigger than 0.9.
     Then run a simple cointegration test and if the p-values is less than 0.1, then run
     an Augmented Dickey–Fuller test.

Jay-Jay-D

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Securities;
using System;
using System.Collections.Generic;
using System.Linq;

Jay-Jay-D

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,