Historical Pairs Trading Ratio/Spread Analyzer & Simulator
General Information
Asset Price Data Input
Enter sequential prices for the same periods for both assets. Separate values by new lines or commas.
Strategy Parameters
These initial periods establish the historical mean and standard deviation (SD). E.g., 0.5 SD from mean, or 0 to target mean reversion. E.g., If ratio is 1.2 and cost is 0.005 ratio points. Enter 0 if none.
Important Interpretation Notes:
- This is a simplified historical simulation based on your inputs and defined rules. "Profit Points" refer to the change in the calculated price ratio or spread value.
- Real-world Profit & Loss would depend on the actual number of shares traded for each leg of the pair, precise execution prices, commissions, short-selling fees (if applicable for the short leg), and slippage, which are not fully modeled here beyond an optional fixed 'points' cost per trade.
- Past performance identified by this strategy simulation does not guarantee future results. Pairs relationships can break down (diverge permanently).
- This tool does not verify if the chosen assets are truly cointegrated or suitable for pairs trading. That requires separate statistical analysis.
- Pairs trading involves risks. Always conduct thorough research and manage risk.