Market neutral · Pairs spread reversion
Multi-Asset Pairs (9) Pair Spread z1.8 · 1D
Pairs spread reversion on AAPL, MSFT, JPM, GOOGL, AMZN, NVDA, TSLA, META, US500 CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+0.3%Backtest
Max drawdown−0.1%Volatility 0.6%
Sharpe3.80Trades 5
Since go-live—awaiting first trade
In the OctoHex System since Oct 5, 06:30 AM — client money follows this strategy.
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return+0.3%
Max drawdown−0.1%
Sharpe3.80
Trades5
Winning trades80%
Time in market84%
Backtest on real historical prices from Aug 13, 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 5% annualised volatility (risk level 1/5), 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 | 0.1 | 0.2 | 0.0 | 0.3% |