Pair Trading Backtest

Dynamic Spread Model

Backtest Parameters

Date Range

From Date

To Date

Stock Selection

Stock A

Stock B

OLS Lookback Window (Days)

Window size for rolling OLS regression (Alpha & Beta)

Z-Score Lookback (Days)

Window size for z-score calculation of the spread

Entry Z-score

Z-score to enter into long/short trade

Exit Z-score

Z-score to exit from a trade position

Capital Per Trade ($)

Amount for value-neutral calculation

Risk-Free Rate (%)

Annual risk-free rate for Sharpe ratio

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