Pair Trading Backtest

Kalman Filter Spread Model

Backtest Parameters

Date Range

From Date

To Date

Stock Selection

Stock A

Stock B

Kalman Process Noise

Controls adaptation speed of Kalman filter

Kalman Initial Lookback

Days for initial OLS regression

Z-Score Lookback (Days)

Window size for z-score calculation

Entry Z-score

Z-score to enter into long/short trade

Exit Z-score

Z-score to exit from a trade position

Stop Loss & Target

Time-Wise Stop (days)

Force exit after X days regardless of Z-score

Loss Stop (%)

Exit when ROI hits this loss percentage

Target Profit (%)

Exit when ROI hits this profit percentage