Pairs Trading Country ETFs Strategy (C#)
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Pairs Trading Country ETFs Strategy (C# Version)
This mean-reversion strategy trades a pair of country ETFs based on the z-score of their price ratio. When the ratio deviates beyond a threshold the system enters a long/short position expecting the spread to revert toward its average.
The price ratio is tracked with a rolling window and positions are closed when the z-score crosses the exit level.
Details
- Universe: exactly two country ETFs.
- Signal: z-score of rolling price ratio exceeding
EntryZ. - Exit: close when z-score reverts to
ExitZ. - Data: daily candles, 60-day window by default.
- Risk control: orders skipped if trade value below
MinTradeUsd.
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