The Beta Adjusted Pairs Trading strategy uses the Beta alongside volatility filters. It enters trades only when specified conditions align.
Signals require the indicator to surpass a threshold while volatility meets predefined criteria. Positions can be long or short with built-in stops.
Designed for traders who value risk control, the strategy exits as soon as the indicator mean reverts or volatility shifts. Initial setting
Asset2 = (Security.
- Entry Criteria: Indicator crosses back toward mean.
- Long/Short: Both directions.
- Exit Criteria: Indicator reverts to average.
- Stops: Yes.
- Default Values:
- Asset2 = (Security
- Asset2Portfolio = (Portfolio
- BetaAsset1 = 1.0m
- BetaAsset2 = 1.0m
- LookbackPeriod = 20
- EntryThreshold = 2.0m
- StopLoss = 2.0m
- Filters:
- Category: Mean Reversion
- Direction: Both
- Indicators: Beta
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Short-term
- Seasonality: No
- Neural Networks: No
- Divergence: No
- Risk Level: Medium