Developed a Statistical Arbitrage Model in python. The model uses the stock movements of Coke and Pepsi as a test, however any co-integrated stocks could be used
The model executes trades depending on the Z-Score calculations and sells trades in a stop-loss system. With Coke and Pepsi, the model managed to beat the market on average over the period of 2012-2022.
More information can be found on the presentation where there is a full explanation of the different concepts covered and a straightforward analysis on our results.