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