pair-trading

Mean-reversion signals are generated by computing the Z-score of two aligned instruments' price ratio to trigger entries and exits. The engine requires exactly two correlated assets and outputs per-instrument long and short signals based on rolling mean deviations.

Pair trading uses a two-instrument price ratio to compute Z-scores and trigger mean-reversion entries and exits. Long and short positions are opened when the Z-score deviates from its rolling mean and closed when the ratio reverts to historical norms.

Calculate rolling mean and standard deviation for a two-instrument price ratio by aligning the historical data of both assets. The engine computes these rolling statistics to standardize the ratio into a Z-score for deterministic signal generation.

Pair trading signal generation requires exactly two instruments with aligned historical price data. The engine handles index alignment and NaN values internally to compute accurate rolling statistics and Z-scores for deterministic entry and exit signals.

Quantitative pair trading manages risk by enforcing strict pair-ownership with equal allocation across both legs. You long one instrument and short the other, relying on explicit Z-score exit rules to close the hedged position when the ratio reverts.

Pair trading Z-scores return NaN when index alignment fails or missing data prevents rolling calculations. The engine requires exactly two instruments with aligned histories and handles NaN values to ensure deterministic entry and exit signal generation.