Statistical arbitrage · Pairs spread reversion
IWM/SPY Pair Spread z1.8 · 1D
Pairs spread reversion on IWM, SPY CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−1.4%Backtest
Max drawdown−1.5%Volatility 2.1%
Sharpe-8.28Trades 0
Since go-live—awaiting first trade
Outside the System since Oct 5, 08:50 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return−1.4%
Max drawdown−1.5%
Sharpe-8.28
Trades0
Winning trades0%
Time in market95%
Backtest on real historical prices from Sep 2, 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 +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 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 | -1.5 | 0.1 | -1.5% |