RW Simple Pairs Trade — Strategy by robotjames
By robotjames
Performance Metrics
- Author: robotjames
- Symbol: NASDAQ:FITB/NYSE:MS*1000
- Timeframe: 1 day
- Net P&L: +614.73 USD (+0.61%)
- Win Rate: 77.4%
- Profit Factor: 2.204
- Max Drawdown: 218.44 USD (0.22%)
- Total Trades: 84
- Sharpe Ratio: −5.96
Description
A Simple Implementation of a Pairs Trading Strategy It uses a simple moving average of specified length (default = 20) and enters at cutoffs set by Entry ZScore. Trades are exited at the moving average.It is intended to be run on pairs of stocks. To Spread KO and PEP, for example, use the ticker KO / PEP * 1000To visualise the trade better add Bollinger bands to your charts, corresponding to the SMA length and Entry ZScore criteria you specified.