Statistical arbitrage · Pairs spread reversion
SPY/QQQ Pair Spread z2 · 1H
Pairs spread reversion on SPY, QQQ CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−1.9%Backtest
Max drawdown−1.0%Volatility 0.8%
Sharpe-2.29Trades 20
Since go-live−0.00% Live
Outside the System since Oct 5, 08:55 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live equity
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return−1.9%
Max drawdown−1.0%
Sharpe-2.29
Trades20
Winning trades50%
Time in market50%
Backtest on real historical prices from Apr 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
- 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 5% annualised volatility (risk level 1/5), 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 | -0.2 | -0.4 | 0.1 | -0.1 | -0.1 | -0.3 | 0.0 | -0.9% |