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Market neutral · Pairs spread reversion

Multi-Asset Pairs (11) Pair Spread z2.2 · 1D

Pairs spread reversion on AAPL, MSFT, NVDA, AMZN, META, GOOGL, TSLA, JPM, AMD, NFLX, US500 CFDs, evaluated on completed 1D bars and executed at live bid/ask.

Annual return−0.1%Backtest
Max drawdown−0.4%Volatility 1.1%
Sharpe-1.25Trades 3
Since go-live−0.03% Live
Use in my package All strategies
Outside the System since Oct 5, 08:54 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−0.001%−0.015%−0.029%
Live trade history

No trades closed yet — open positions are shown above.

Backtest on real market data
Sep 3Sep 10Sep 17Sep 24Oct 2+0.28%+0.09%−0.10%
Annual return−0.1%
Max drawdown−0.4%
Sharpe-1.25
Trades3
Winning trades100%
Time in market95%

Backtest on real historical prices from Sep 3, 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, Hyperliquid)

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
20260.0-0.1-0.1%