Cointegration Pairs

Long laggard in cointegrated pairs when spread Z > 2

Total Return

+8.8%

Sharpe Ratio

-0.26

Max Drawdown

-5.6%

Win Rate

49.0%

Alpha

-63.5%

Comp. Score *

0.00

Risk Parameters

Max Allocation0.0%

Stop Loss10.0%

Take Profit5.0%

Max DD Tolerance5.6%

Rebalancedaily

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	19%	8.0% below entry	4.0% above entry	0.0%	TV YH
UPS	BUY	31%	12.9% below entry	6.4% above entry	0.0%	TV YH