Cointegration Pairs

Long laggard in cointegrated pairs when spread Z > 2

Cointegration Pairs Trading

Total Return

+6.2%

Sharpe Ratio

-0.47

Max Drawdown

-6.2%

Win Rate

48.6%

Alpha

-21.1%

Comp. Score *

0.00

Risk Parameters

Max Allocation0.0%

Stop Loss10.0%

Take Profit5.0%

Max DD Tolerance6.2%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleEnter when Z-score exceeds 2.0. Exit when Z returns to 0.

TimingWAIT FOR SIGNAL: Only enter when price spread between paired stocks reaches extreme levels. *

ScalingFull position at entry. No scaling — it's a convergence trade.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
PG	BUY	18%	7.7% below entry	3.9% above entry	0.0%	TV YH
UPS	BUY	30%	12.6% below entry	6.3% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - Take profit: Take profit at +50%. This strategy is inconsistent — capture gains when available. - Stop loss: Reduce position by 50% at -25% drawdown. Consistency is only 7%. - Exit rule: Exit when spread Z-score returns to 0. The convergence trade is done.

Avg 5Y Return

5.7%

Avg 5Y Sharpe

-0.57

10Y Return

7.0%

10Y Sharpe

-0.7

HODL Composite

0.01

Consistency

Suitable for passive