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Relative Value Arbitrage Algorithm

The algorithm uses a pairs trading strategy. The securities selected had been screened based on co-integration. Securities were selected from banks in the financial sector. The pair has an economic link, and co-integration was tested and found to be positive. The algorithm is also beta hedged, to reduce exposure to the S&P 500.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59c1a3cab19d8f5069dc7744
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