3.8
Pairs Trading
PYTHON PLUGIN
Stocks
Stat Arb
Description
Strategy 3.8: Pairs Trading with z-score mean reversion
Strategy Logic
Pairs trading strategy using z-score of log price spread.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 60 | int |
| entry_z | 2.0 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 15.0% |