Pairs Trading Country ETFs Strategy

This mean-reversion strategy trades a pair of country ETFs based on the z-score of their price ratio. When the ratio deviates beyond a threshold the system enters a long/short position expecting the spread to revert toward its average.

The price ratio is tracked with a rolling window and positions are closed when the z-score crosses the exit level.

Details

• Universe: exactly two country ETFs.
• Signal: z-score of rolling price ratio exceeding EntryZ.
• Exit: close when z-score reverts to ExitZ.
• Data: daily candles, 60-day window by default.
• Risk control: orders skipped if trade value below MinTradeUsd.