3.18
Statistical Arbitrage
PYTHON PLUGIN
Stocks
Stat Arb
Description
Strategy 3.18: Statistical Arbitrage with PCA residuals
Strategy Logic
Statistical arbitrage using PCA-based mean reversion.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 60 | int |
| n_factors | 5 | int |
| entry_z | 1.5 | float |
| exit_z | 0.5 | float |
| max_stocks | 20 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 15.0% |