pair-trading

Use a rolling z-score to monitor the price ratio spread between two correlated instruments. The workflow computes the spread over a defined lookback window and emits opposite long-short positions when deviations exceed configured entry and exit thresholds.

Pair trading captures mean-reversion by monitoring the price ratio between two correlated assets. The z-score measures spread deviations from a rolling lookback mean, triggering equal-weight long-short entries at extreme values and exits when the spread reverts.

Yes, the pair-trading workflow supports crypto pairs like BTC-USDT and ETH-USDT. It uses pandas to align the time series and compute the rolling z-score on their price ratio, signaling hedge trades when the spread diverges beyond set thresholds.

Define a rolling lookback window to smooth the price ratio into a z-score, then set entry and exit thresholds for the hedged strategy. The workflow triggers equal-weight long-short signals when the z-score crosses these configured boundaries.

Yes, the mean-reversion signal generation applies NaN-safe defaults to handle missing data in aligned time series. This ensures the rolling z-score computation and subsequent long-short signal generation remain accurate despite gaps in OHLCV history.