MCL-YG Pair Trading Strategy by shark792
By shark792
Performance Metrics
- Author: shark792
- Symbol: NASDAQ:PYPL/NYSE:SQ
- Timeframe: 1 day
- Net P&L: −3,770.42 NONE (−37.51%)
- Win Rate: 24.8%
- Profit Factor: 0.464
- Max Drawdown: 3,814.54 NONE (38.16%)
- Total Trades: 109
- Sharpe Ratio: −0.398
Description
This strategy uses Bollinger Band breakouts to detect buy and sell signals on a correlated pair of assets.