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Relative Value Arbitrage Algorithm

The strategy involved a pairs trade, taking the securities BB&T corporation and Capital One Financial. The two securities were found to have a cointegration link, possibly due to both being bank securities. The strategy trades long/short, depending on whether the securities' prices diverge or converge. Hedging is involved as well. The strategy is beta hedged, meaning it correlates very little to a market index(the S&P 500). In addition, the backtest provided positive results, with a sharpe ratio over 2 and a max drawdown of only -2.41%(most institutions accept drawdowns of up to 10%).

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: 59da59e3b8335f5082a1d00a
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