Skip to content

Note: these strategies for viewing information only, they are not for sale, nor to solicit or suggest trading activity.

pair trading

us equities and futures

hedged Pairs

17 SEPTEMBER 2022

We have developed the machinery to identify highly co-integrated pairs among hundreds of thousands of pairs among US equities for trading them in hedged pairs. Once the candidate pairs are identified their performance are observed and optimized then observed in out of sample mode for a few months. Since inception of this project in July-2022, this strict regime of selection has resulted in only a half-dozen pairs thus far. The image shown is the cumulative in+out of sample result over roughly two yours of trading five pairs.

The portfolio starting equity allocated equally to each pair
(e.g. $50k => $10k/pair)