Mean Reversion Pairs
The Mean Reversion Pairs strategy exploits the statistical tendency of co-integrated asset pairs to revert to their historical spread relationship. Using a Kalman filter for real-time spread estimation and dynamic z-score thresholds for entry and exit timing, this strategy captures the mean-reverting component of relative price movements while maintaining market neutrality. The pair universe is continuously monitored for cointegration stability using the Engle-Granger and Johansen tests, with pairs automatically rotated when statistical relationships break down. This ensures the strategy always operates on the most robust statistical relationships available in the market.
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Trailing 12-Month Returns
Past performance does not guarantee future results. All returns are net of transaction costs.
How It Works
Engle-Granger cointegration testing with rolling windows
Kalman filter for adaptive hedge ratio estimation
Dynamic z-score entry at ±2σ, exit at ±0.5σ
Half-life estimation for optimal holding period
Johansen test for multi-leg pair validation
Regime-conditional parameter adjustment
Tradeable Universe
Capital Protection
Deliverables
Choose Your Plan
All plans include a 14-day money-back guarantee. No questions asked.
Basic
- Top 20 pairs signals
- Email delivery
- Basic spread dashboard
- Community access
Professional
- Full 50+ pair universe
- Real-time webhook alerts
- Advanced spread analytics
- Cointegration monitoring dashboard
- Python backtesting notebook
- Priority support
Institutional
- Everything in Professional
- Custom pair universe creation
- API access for systematic integration
- Monthly strategy consultation
- Multi-account execution support
- Dedicated Slack channel
Mean Reversion Pairs is currently in development. Enter your email to get notified when it becomes available — plus early-bird pricing.
No spam. Unsubscribe anytime.
Common Questions
Interested in This Service?
This consulting package is currently being developed. Join the waitlist to be notified when it launches — plus receive early-bird pricing.
Mean Reversion Pairs is currently in development. Enter your email to get notified when it becomes available — plus early-bird pricing.
No spam. Unsubscribe anytime.