Backtesting

Test your pairs trading strategy before you make a trade with the PairsTrader Backtesting tool. You can simulate entry and exit positions based on key metrics in the PairsTrader System, such as the simple Pair Index indicator or Z-Scored Pair Index. Control how aggressive or conservative the strategy is by requiring various conditions, such as correlation, whether the legs of the pair were cointegrated at the time, and how fast the measured reversal speed was.

You can see aggregate P&L, return, drill down into individual trades and see why a particular position was signaled. Backtested results are automatically incorporated in your charts so you can get a feel for how the strategy performed historically.

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After you run a backtest all your results are viewable on the same page. By selecting any given pair you can see the holding period, pair index and z-scored pair index at the time of entry and exit of the position, as well as the total dollar-P&L and return for the particular position.

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You can drill into more details by highlighting a particular position, and seeing key statistics for position entry and exit times including the Association Model Explanatory Power, Forecast Model Explanatory Power, Correlation, Reversal Speed, and whether the legs of the pair were cointegrated at the time.

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Backtested results are automatically incoporated into your charts as you create them. This will allow you get a sense for how the strategy traded over time for a particular pair.

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