Pairs Trade
backtest · Jan 2025 → Apr 2026
Long/short equity · 16-month backtest · Jan 2025 — Apr 2026
+9.90%
Average long/short return per pair across 332 trades. Every single one of 16 months ended in the green.
Trained on 8 years (2017–2024) · 10-day holds · equal-dollar sized
Zero leakage·Zero bad months·Top 400 US large-caps
Avg L&S per pair
+9.90%
Net of costs
+9.67%
−0.24% per pair (20 bps + 1% borrow)
Per-pair Sharpe
0.53
Pair hit rate
71.1%
Positive months
16 / 16
Best month
+26.58%
Worst month
+1.05%
Max drawdown
-191.40%
Trough on 2025-11-10
Worst single trade
-49.97%
2025-08-12
Cumulative L&S spread
2025-01 → 2026-04
Monthly L&S spread · 16 of 16 positive
2025-01
+1.1%
2025-02
+22.4%
2025-03
+7.7%
2025-04
+3.9%
2025-05
+9.7%
2025-06
+18.3%
2025-07
+7.9%
2025-08
+5.9%
2025-09
+11.0%
2025-10
+4.0%
2025-11
+9.6%
2025-12
+18.0%
2026-01
+5.2%
2026-02
+1.2%
2026-03
+6.6%
2026-04
+26.6%
Per-trade L&S distribution · 332 trades
Green = positive · Rose = negative
5th pct
-21.03%
bottom 5% of trades
Median
+8.41%
95th pct
+44.29%
top 5% of trades
Skew
0.14
Near-symmetric
Excess kurtosis
0.02
Near-normal
Sector exposure · what factor are we actually trading
332 long picks · 332 short picks
- Technology+43117160
- Industrials+791493
- Communication Services+64551
- Consumer Cyclical-55605
- Financial Services-43474
- Healthcare+11819
- Energy-2727
- Consumer Defensive-44
Net column = long count − short count for the sector. Positive = strategy tilted long that sector; negative = tilted short. Equal across sectors = sector-neutral as a factor.
Underwater curve (cumulative drawdown)
Max drawdown -191.40% · 2025-11-10