This simplified pairs trading strategy operates on multiple stock pairs. For each pair the price ratio is tracked over a rolling window and its z-score is computed. When the z-score exceeds an entry threshold a long/short trade is opened; positions are closed when the z-score reverts.
The algorithm supports trading multiple independent pairs simultaneously.
- Universe: list of stock pairs.
- Signal: z-score of price ratio crossing EntryZ.
- Exit: close when z-score reaches ExitZ.
- Data: daily candles with 60-day lookback by default.
- Risk control: trades skipped when order value below MinTradeUsd.