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Pairs Trading Backtest Dashboard
A statistical arbitrage strategy backtester using cointegration tests to identify correlated asset pairs, with full P&L metrics accounting for transaction costs.
TECH STACK
PythonStatisticsPlotlyPandasstatsmodelsBacktest
Deep Dive
Implements a mean-reversion pairs trading strategy. Runs Engle-Granger and Johansen cointegration tests to find statistically significant pairs. Entry/exit signals are generated from the z-score of the spread. Performance is measured with Sharpe ratio, max drawdown, and win rate, including realistic transaction cost modeling via a configurable slippage slider.