Statistical arbitrage · Pairs spread reversion
Brent/WTI Oil Pair Spread z2.2 · 4H
Pairs spread reversion on Brent Crude Oil, WTI Crude Oil CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return−0.5%Backtest
Max drawdown−0.6%Volatility 1.0%
Sharpe-0.49Trades 26
Since go-live+0.02% Live
Outside the System since Oct 5, 08:53 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live equity
Live trade history · last 2: 1 in profit · 1 at a loss
| Closed | Market | Entry | Exit | Result |
|---|---|---|---|---|
| Oct 5, 08:53 AM opened Oct 5, 06:29 AM | ▼ BRENT | 101.40 | 101.90 | −0.50% |
| Oct 5, 08:53 AM opened Oct 5, 06:29 AM | ▲ WTI | 89.98 | 90.22 | +0.25% |
Backtest on real market data
Annual return−0.5%
Max drawdown−0.6%
Sharpe-0.49
Trades26
Winning trades54%
Time in market35%
Backtest on real historical prices from Apr 15, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Binance)
Methodology
- Trades the log-price spread of the first two instruments. When its 60-bar z-score exceeds +2.2, short the first and buy the second; below −2.2 the opposite.
- Both legs are closed when |z| falls below 0.5. The book is close to market-neutral.
- Trades both directions (long and short).
- Position size targets 12% annualised volatility (risk level 3/5), capped at 8:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.1 | 0.2 | 0.0 | -0.4 | 0.2 | 0.0 | -0.3 | -0.2% |