Statistical arbitrage · Pairs spread reversion
SOL/AVAX Pair Spread z1.8 · 1H
Pairs spread reversion on SOL/USD, AVAX/USD CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−2.4%Backtest
Max drawdown−9.3%Volatility 5.1%
Sharpe-0.36Trades 380
Since go-live—awaiting first trade
Outside the System since Oct 5, 08:55 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−2.4%
Max drawdown−9.3%
Sharpe-0.36
Trades380
Winning trades53%
Time in market45%
Backtest on real historical prices from Oct 7, 2025 to Oct 4, 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 18% annualised volatility (risk level 4/5), capped at 2:1 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.8 | -0.1 | 0.3 | 1.1% | |||||||||
| 2026 | 1.1 | 0.5 | 0.7 | 2.0 | 1.1 | -3.3 | 0.2 | -2.4 | -3.6 | 0.4 | -3.4% |