Statistical arbitrage · Pairs spread reversion
GOOGL/META Pair Spread z2 · 1H
Pairs spread reversion on GOOGL, META CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−7.5%Backtest
Max drawdown−5.3%Volatility 6.8%
Sharpe-1.11Trades 34
Since go-live—market closed
Backtest on real market data
Annual return−7.5%
Max drawdown−5.3%
Sharpe-1.11
Trades34
Winning trades53%
Time in market60%
Backtest on real historical prices from Apr 8, 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 +2, short the first and buy the second; below −2 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 8% annualised volatility (risk level 2/5), 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 | -3.7 | -0.8 | 1.4 | 0.5 | 0.7 | -1.7 | 0.0 | -3.7% |