Statistical Arbitrage Strategy Tester

Define Spread Trading Strategy

Trade Configuration Conceptual Initial Capital ($): Value per 1 Spread Point ($): Commission per Round-Trip Trade ($): Slippage (in spread points, on entry):

Spread Mean & Bands Configuration SMA Period (for Spread Series): Band Type:

Standard Deviations:

Percentage (+/- % from SMA):

Exit Rules for Spread Trades

Strategy will:
- LONG Spread when Spread Value <= Lower Band.
- SHORT Spread when Spread Value >= Upper Band.
(One position at a time.)

Primary Exit Logic:

Take Profit (spread points):

Stop Loss (spread points):

Spread Data Input & Test Execution

Spread Values (comma-separated numbers): Enter your pre-calculated spread time series. Ensure enough data for the SMA period.

Test Results

Run a test to see results.