Pair Trading Qant Maney

Pair Trading Qant Maney

What it does:

Scans a fixed list of assets (24-hour US stock pairs from the Pepperstone brokerage) on the chosen timeframe.

For each pair and for various periods (Period1…Period100 ABOVE) it:

Calculates a regression model between the two assets (and, if desired, using the US500 index as a normalizer).

Generates the residual (spread) of this relationship, its mean, standard deviation, correlation, and betas (B1 and B2).

Applies an ADF test to the residual (cointegration/stationarity).

Calculates the Z-score of the current residual (how many standard deviations it is away from the mean).

Only pairs that meet the filters are included in the table.
Attach the indicator to the chart, adjust inputs (periods, Z-score limit, ADF, normalizer usage, etc.).

Click on “START SCANNER”: it performs all tests and populates the table with the pairs that gave a signal.

Click on a line in the table:

The indicator shows the pair details (Z-Score, ADF, betas, correlation, average, lot ratio).

It draws the residual chart (candle or line mode) with average and 2σ and 3σ bands, allowing you to adjust the period and window shift.

It calculates an A/B lot ratio (with a vol-neutral option, adjusting for asset deviations).

Typical operational rules (suggested by the indicator):

When the Z-Score is high positive (above the limit): the pair is “stretched”; the idea is to sell the expensive asset and buy the cheap one, in the proportion indicated in the panel.

When the Z-score is very negative: the pair is "cheap"; you reverse the positions (buy the one below the average and sell the one above).

You can save the selected pair in the SAVED panel to create a watchlist of recurring opportunities.