Pair Trading On S P 500 Pair Trading
Metrics
Annual Return
Annual Volatility
Euclidean Distance
Max Dropdown
Sharpe Ratio
Results
Performance results of various models on this benchmark
Model Name | Annual Return | Annual Volatility | Euclidean Distance | Max Dropdown | Sharpe Ratio | Paper Title | Repository |
|---|---|---|---|---|---|---|---|
| Trials | 0.5±0.14 | 0.22±0.04 | 0.037±0.01 | -0.09±0.01 | 1.84±0.24 | Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning |
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