Statistical arbitrage · Pairs spread reversion
Gold/Silver Pair Spread z2 · 4H
Pairs spread reversion on XAU/USD, XAG/USD CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return+4.9%Backtest
Max drawdown−2.1%Volatility 3.3%
Sharpe1.46Trades 38
Since go-live—awaiting first trade
In the OctoHex System since Oct 5, 06:30 AM — client money follows this strategy.
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return+4.9%
Max drawdown−2.1%
Sharpe1.46
Trades38
Winning trades50%
Time in market35%
Backtest on real historical prices from Jan 21, 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. (Alpaca)
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 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 | 0.5 | -0.5 | 1.9 | 0.1 | -1.1 | 0.2 | 0.2 | 1.3 | 0.7 | 0.1 | 3.3% |
