Pairs Trade
backtest · Jan 2025 → Apr 2026
Long/short equity · 16-month backtest · Jan 2025 — Apr 2026
+9.22%
Average long/short return per pair across 332 trades. 14 out of 16 months ended in the green.
Trained on 8 years (2017–2024) · 15-day holds · equal-dollar sized
Zero leakage·14/16 months positive·Top 400 US large-caps
Monthly L&S spread · 14 of 16 positive
2025-01
+2.5%
2025-02
-9.5%
2025-03
+10.1%
2025-04
+20.0%
2025-05
+13.4%
2025-06
+11.5%
2025-07
+3.6%
2025-08
+15.2%
2025-09
+11.3%
2025-10
-12.7%
2025-11
+2.7%
2025-12
+16.7%
2026-01
+21.2%
2026-02
+1.0%
2026-03
+21.0%
2026-04
+18.2%
Daily L&S spread · each dot is one independent trade
Green = positive · Rose = negative · Line = 21-day rolling avg
Avg L&S per pair
+9.22%
Net of costs
+8.96%
−0.26% per pair (20 bps + 1% borrow)
Per-pair Sharpe
0.45
Pair hit rate
64.5%
Positive months
14 / 16
Best month
+21.19%
Backtest t-stat
3.97
mean L&S > 0, Newey-West HAC q=14
Win/loss ratio
1.77
avg win 20.8% / avg loss -11.7%
Annualized Sharpe
1.84
per-pair Sharpe × √(252/15)
Sector exposure · what factor are we actually trading
332 long picks · 332 short picks
- Technology+4185126
- Communication Services+356297
- Financial Services-578528
- Consumer Cyclical-477730
- Industrials+41849
- Healthcare-1010
- Utilities-121
- Energy-22
- Basic Materials011
Net column = long count − short count for the sector. Positive = strategy tilted long that sector; negative = tilted short. Equal across sectors = sector-neutral as a factor.
Per-trade L&S distribution · 332 trades
Green = positive · Rose = negative
5th pct
-22.27%
bottom 5% of trades
Median
+8.22%
95th pct
+46.18%
top 5% of trades
Skew
0.19
Near-symmetric
Excess kurtosis
0.33
Near-normal