Pairs

Relative value: long laggard vs leader in correlated pairs

Total Return

+35.0%

Sharpe Ratio

0.90

Max Drawdown

-8.1%

Win Rate

54.3%

Alpha

-54.9%

Comp. Score *

0.12

Risk Parameters

Max Allocation12.4%

Stop Loss10.0%

Take Profit5.0%

Max DD Tolerance8.1%

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
KO	BUY	18%	7.4% below entry	3.7% above entry	16.9%	TV YH
PEP	BUY	21%	8.8% below entry	4.4% above entry	14.1%	TV YH
XOM	BUY	24%	10.2% below entry	5.1% above entry	12.2%	TV YH
CVX	BUY	24%	10.0% below entry	5.0% above entry	12.4%	TV YH
GOOGL	BUY	31%	13.1% below entry	6.6% above entry	9.5%	TV YH
META	BUY	37%	15.7% below entry	7.9% above entry	7.9%	TV YH
JPM	BUY	25%	10.4% below entry	5.2% above entry	12.0%	TV YH
BAC	BUY	25%	10.4% below entry	5.2% above entry	12.0%	TV YH