Statistical arbitrage · Pairs spread reversion
WTI Oil/Brent Pair Spread z2 · 1H
Pairs spread reversion on WTI Crude Oil, Brent Crude Oil CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−3.1%Backtest
Max drawdown−1.6%Volatility 0.8%
Sharpe-4.18Trades 102
Since go-live+0.02% Live
Outside the System since Oct 5, 08:51 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, 08:51 AM opened Oct 5, 06:29 AM | ▲ WTI | 89.98 | 90.08 | +0.10% |
| Oct 5, 08:51 AM opened Oct 5, 06:29 AM | ▼ BRENT | 101.40 | 101.68 | −0.29% |
Backtest on real market data
Annual return−3.1%
Max drawdown−1.6%
Sharpe-4.18
Trades102
Winning trades53%
Time in market49%
Backtest on real historical prices from Apr 6, 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 8% annualised volatility (risk level 2/5), 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 | -0.3 | -0.3 | -0.1 | -0.2 | 0.0 | -0.3 | -0.4 | -1.6% |