Pair Trade — Strategy by danilogalisteu
By danilogalisteu
Performance Metrics
- Author: danilogalisteu
- Symbol: BMFBOVESPA:BOVA11/BMFBOVESPA:SMAL11
- Timeframe: 1 day
- Net P&L: +128,185.78 NONE (+128.19%)
- Win Rate: 70.0%
- Profit Factor: 4.138
- Max Drawdown: 11,675.28 NONE (5.88%)
- Total Trades: 30
- Sharpe Ratio: 0.192
Description
Jan 25, 2020Pair trade with inputs:* length of correlation and moving average* trade pair* spread threshold to enter long / short* spread threshold to exit long / shortJan 25, 2020Release NotesBetter spread thresholds for BOVA11 / SMAL11.