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Statistical Arbitrage Pairs Trading - Long-Side OnlyThis strategy implements a simplified statistical arbitrage (" stat arb ") approach focused on mean reversion between two correlated instruments. It identifies opportunities where the spread between their normalized price series (Z-scores) deviates significantly from historical norms, then executes long-only trades anticipating reversion to the mean. Key Mechanics: 1. Spread Calculation: The strategy computes Z-scores for both instruments to normalize price movements, then tracks the spread between these Z-scores. 2. Modified Z-Score: Uses a robust measure combining the median and Median Absolute Deviation (MAD) to reduce outlier sensitivity. 3. Entry Signal: A long position is triggered when the spread’s modified Z-score falls below a user-defined threshold (e.g., -1.0), indicating extreme undervaluation of the main instrument relative to its pair. 4. Exit Signal: The position closes automatically when the spread reverts to its historical mean (Z-score ≥ 0). Risk management: Trades are sized as a percentage of equity (default: 10%). Includes commissions and slippage for realistic backtesting.
Strategi Pine Script®
oleh piirsalu
44

Pilih data pasar yang disediakan oleh ICE Data Services. Pilih data referensi yang disediakan oleh FactSet. Hak Cipta © 2025 FactSet Research Systems Inc.Hak Cipta © 2025, American Bankers Association. Basis Data CUSIP disediakan oleh FactSet Research Systems Inc. Seluruh hak cipta dilindungi undang-undang. Formulir SEC dan dokumen lainnya disediakan oleh Quartr.© 2025 TradingView, Inc.

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