Calculation models

Calculation models

The following calculation models are implemented in Stock Pair Trading program:

• RATIO - basic model based on prices ratio
• RESIDUAL - advanced model based on prices co-integration
• LOGRESIDUAL - advanced model based on co-integration of logarithm values of prices

Download

Download results of backtest for27,000 pairs:

• RATIO model
• RESIDUAL model
• LOGRESIDUAL model

Backtests were performed using Stock Pair Builder program with settings that is provided in the table header.

Click here to display summary of individual computation models performance.