A production-ready statistical arbitrage trading system that automates pair trading strategies using cointegration analysis and mean reversion techniques.
Automated system that identifies cointegrated stock pairs and executes market-neutral trades when price spreads deviate from historical norms, profiting from mean reversion.
Pair Discovery: Automated cointegration testing using Engle-Granger methodology
Signal Generation: Z-score based entry/exit signals with stop-loss protection
Backtesting: Realistic simulation with transaction costs (0.1%) and slippage (0.05%)
Performance Analytics: Sharpe ratio, Sortino ratio, maximum drawdown analysis
Visualization: Comprehensive charts for prices, spreads, signals, and performance
| Pair Prices | Performance | Signals | Drawdown |
|---|---|---|---|
 |
 |
 |
 |
Screen.Recording.2026-01-15.at.2.44.38.AM.mov
pip install -r requirements.txt
python3 main.py