Research
Understand the math before you size up. 286 aligned sessions · sample prices, not a live signal
Hedge ratio (β)
0.5748
OLS on log prices
Half-life
17.7 days
AR(1) on spread
Backtest Sharpe
5.08
Rough, in-sample
Profit factor
4.35
6 simulated trades
Spread z-score
How this works
- Align QQQ and SPY daily adjusted closes.
- Regress log(QQQ) on log(SPY) → hedge ratio β.
- Spread = residual from that regression (should be stationary if pair is cointegrated).
- Z-score over 60 days. Enter at ±2, exit at 0, stop at ±3.
- Regime filter: half-life between 2–60 days. If spread drifts too long, the “edge” is probably gone.
Simulated trades (last sample)
| Entry | Exit | Dir | P&L% |
|---|---|---|---|
| 2026-06-19 | 2026-09-07 | short spread | 0.73% |
| 2026-06-11 | 2026-06-18 | short spread | -2.35% |
| 2026-03-04 | 2026-04-21 | short spread | 1.87% |
| 2026-02-04 | 2026-02-16 | long spread | 2.43% |
| 2025-12-29 | 2026-01-16 | short spread | 1.72% |
| 2025-11-13 | 2025-11-28 | short spread | 3.47% |