pair-trading

To generate mean reversion signals, compute the rolling Z-score of the price ratio between two correlated instruments. The skill uses a configurable lookback window and Z-score thresholds to trigger entry and exit signals for hedged long and short positions.

Statistical arbitrage using Z-score pair trading detects temporary deviations in the spread or price ratio between two correlated instruments. It computes rolling statistics to produce entry and exit signals, capturing mean reversion while minimizing directional market exposure through equal-weight hedging.

Yes, pair trading strategies can be backtested on crypto pairs like BTC-USDT and ETH-USDT. The skill processes aligned OHLCV time series using pandas to compute rolling price ratio statistics and generate backtested long-short statistical arbitrage signals.

Entry and exit Z-score thresholds are configured as numeric values, such as an entry Z-score of 2.0 and an exit Z-score of 0.5. These thresholds define when the spread deviation is large enough to enter a hedged position and when it reverts enough to exit.

No, this approach enforces exactly two instruments with opposite directions and equal capital allocation. It is specifically designed for simple two-leg paired hedges in equity or crypto markets where two-instrument statistical arbitrage is desirable.