Pairs Trading

A rigorous pairs-trading pipeline that asks whether cointegration-based statistical arbitrage survives out-of-sample testing once costs and selection bias are accounted for. Pairs are screened with Engle-Granger cointegration tests under Benjamini-Hochberg false-discovery-rate correction, traded on spread z-score mean-reversion signals using both static and Kalman-filter dynamic hedge ratios, and evaluated with walk-forward backtesting, bootstrap confidence intervals, Probabilistic and Deflated Sharpe Ratios.

Jul 1, 2025