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
Comparison Table
| Model Name | Annual Return | Annual Volatility | Euclidean Distance | Max Dropdown | Sharpe Ratio |
|---|---|---|---|---|---|
| select-and-trade-towards-unified-pair-trading | 0.5±0.14 | 0.22±0.04 | 0.037±0.01 | -0.09±0.01 | 1.84±0.24 |