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Statistical arbitrage · Pairs spread reversion

MSFT/GOOGL Pair Spread z2.2 · 1D

Pairs spread reversion on MSFT, GOOGL CFDs, evaluated on completed 1D bars and executed at live bid/ask.

Annual return−2.7%Backtest
Max drawdown−2.8%Volatility 3.5%
Sharpe-3.62Trades 0
Since go-live+0.01% Live
Use in my package All strategies
Outside the System since Oct 5, 08:55 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live equity
06:15 AM08:15 AM10:15 AM12:15 PM02:15 PM+0.016%−0.052%−0.120%
Live trade history

No trades closed yet — open positions are shown above.

Backtest on real market data
Jul 16Aug 4Aug 24Sep 12Oct 2−0.08%−1.39%−2.70%
Annual return−2.7%
Max drawdown−2.8%
Sharpe-3.62
Trades0
Winning trades0%
Time in market82%

Backtest on real historical prices from Jul 16, 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
  1. 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.
  2. Both legs are closed when |z| falls below 0.5. The book is close to market-neutral.
  3. Trades both directions (long and short).
  4. Position size targets 8% annualised volatility (risk level 2/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
JanFebMarAprMayJunJulAugSepOctNovDecΣ
2026-0.4-2.00.0-0.3-2.7%