Statistical arbitrage · Pairs spread reversion
Gold/Silver Pair Spread z2 · 1H
Pairs spread reversion on XAU/USD, XAG/USD CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−1.5%Backtest
Max drawdown−2.5%Volatility 2.0%
Sharpe-0.78Trades 146
Since go-live+0.00% Live
Outside the System since Oct 5, 08:54 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, 08:54 AM opened Oct 5, 06:29 AM | ▲ XAUUSD | 4,155.60 | 4,165.30 | +0.22% |
| Oct 5, 08:54 AM opened Oct 5, 06:29 AM | ▼ XAGUSD | 61.436 | 61.666 | −0.39% |
Backtest on real market data
Annual return−1.5%
Max drawdown−2.5%
Sharpe-0.78
Trades146
Winning trades51%
Time in market47%
Backtest on real historical prices from Jan 12, 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, short the first and buy the second; below −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 8% annualised volatility (risk level 2/5), capped at 3:1 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 | -0.8 | -0.3 | 1.4 | -0.1 | -1.9 | -0.0 | -0.0 | 0.6 | -0.0 | 0.1 | -1.1% |