Statistical arbitrage · Pairs spread reversion
AMD/NVDA Pair Spread z1.8 · 1H
Pairs spread reversion on AMD, NVDA CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return+3.9%Backtest
Max drawdown−3.0%Volatility 5.4%
Sharpe0.74Trades 26
Since go-live—market closed
Backtest on real market data
Annual return+3.9%
Max drawdown−3.0%
Sharpe0.74
Trades26
Winning trades58%
Time in market54%
Backtest on real historical prices from May 18, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Trades the log-price spread of the first two instruments. When its 60-bar z-score exceeds +1.8, short the first and buy the second; below −1.8 the opposite.
- Both legs are closed when |z| falls below 0.5. The book is close to market-neutral.
- Trades both directions (long and short).
- Position size targets 12% annualised volatility (risk level 3/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.8 | 0.4 | 1.8 | 1.7 | -1.7 | 0.0 | 1.4% |