Statistical arbitrage · Pairs spread reversion
US100/US500 Pair Spread z1.8 · 1H
Pairs spread reversion on US100, US500 CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−5.0%Backtest
Max drawdown−2.7%Volatility 1.5%
Sharpe-3.44Trades 104
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 | ▼ US100 | 30,789.0 | 30,766.0 | +0.06% |
| Oct 5, 08:54 AM opened Oct 5, 06:29 AM | ▲ US500 | 7,715.6 | 7,713.6 | −0.04% |
Backtest on real market data
Annual return−5.0%
Max drawdown−2.7%
Sharpe-3.44
Trades104
Winning trades48%
Time in market57%
Backtest on real historical prices from Mar 23, 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. (Hyperliquid)
Methodology
- Trades the log-price spread of the first two instruments. When its 60-bar z-score exceeds +1.8, short the first and buy the second; below −1.8 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 10:1 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 | -0.1 | -0.3 | -0.4 | -0.0 | -0.3 | -1.3 | -0.0 | -2.7% |