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Parameters for pairs screening

Settings of parameters of calculation model

Item Description
Model Model used for pairs screening
Beginning of testing First day, when the trade can be entered.
End of testing Last day, when it is possible to enter the trade
Moving average period / regression A period for calculation of the moving average, and regress parameters, respectively, and the standard deviation
Time stop-loss Maximum amount of business days, for which the position can be opened. Day of position entry = 0 At the end of day X (where X is a time stop-loss) the position is closed (at latest).
Entry value Limit level of relative deviation for entry to the position
Exit value Limit level of relative deviation for exit the position

Performance parameters

Item Description
Minimal ratio Profit/DD Minimal ratio between total profit and maximal drawdown.
Minimal equity stability Minimal equity stability (values 0 - 100)
Maximal drawdown Maximal drawdown in a percentage of initial capital. For example, initial capital of 10 000 USD, maximal drawdown of 25% => drawdown cannot exceed 0.25*10,000 = 2,500 USD within the complete testing period
Minimal number of trades Minimal number of pair trades within tested period
Minimal average trade Minimal average pair trade within tested period
Minimal percentage of profitable trades Minimal percentage of profitable trades within tested period
Minimal daily volume Minimal average daily volume (average within last 30 days)
Minimal price Minimal price of both stocks in the pair
Correlation period 1 Correlation period 1
Minimum of average of correlation 1 Minimal value of average of correlation 1 within the complete tested period
Correlation period 2 Correlation period 2
Minimum of average of correlation 2 Minimal value of average of correlation 2 within the complete tested period