Pair Trading Backtest

Relative Value Directional Model

Backtest Parameters

Date Range

From Date

To Date

Stock Selection

Stock A

Stock B

Lookback Period (Days)

Window size for ratio Z-score calculation and attribution analysis

Entry Z-score

Absolute Z-score threshold for directional trade entry

Exit Z-score

Absolute Z-score to exit trade (convergence)

Capital Per Trade ($)

Amount for value-neutral calculation

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