[{"data":1,"prerenderedAt":40},["ShallowReactive",2],{"strategy-w14":3},{"id":4,"name":5,"family":6,"tags":7,"universe":10,"bars":11,"rules":12,"sizing":13,"cadence":11,"original":14,"testable":22,"not_testable_reason":23,"prompt":24,"deviation":25,"source_file":26,"prompt_note":27,"collection":28,"collection_name":29,"bars_label":30,"universe_short":31,"rule_short":12,"links":32,"verdict":39,"result":25,"chart":25},"W14","Pairs Hedge Ratio","Pairs trading",[8,9],"Mean reversion","Market neutral","EWA and EWC","daily","Spread of log(EWA) minus a rolling 60-day hedge ratio times log(EWC); trade its 60-day z-score at ±2, exit inside 0.5.","50% long / 50% short",{"total_return":15,"cagr":16,"sharpe":17,"max_dd":18,"win_rate":19,"profit_factor":20,"span":21},12.36,0.45,-0.3,-14.27,50.2,1.06,"2000-2025",false,"A pairs trade needs both prices in one decision. An Orbital strategy decides each symbol on its own bars.","Trade EWA and EWC on daily bars, each ETF on its own. Each day, measure its 60-day z-score: how many standard deviations the close is above or below its 60-day average. Short an ETF with 50% of equity when its z-score is above +2, and buy it with 50% of equity when its z-score is below -2. Cover a short when the z-score falls back below +0.5, and sell a long when it rises back above -0.5. Long and short; use a margin account for the shorts. Backtest the last 10 years with $100,000.",null,"example_weights_14_pairs_hedge_ratio.py","Closest Orbital version: the rolling hedge ratio and the spread need both prices in one decision, so each ETF trades its own 60-day z-score. That drops the hedge and the pairing, so on Orbital it is W13's rule applied to EWA and EWC, and it is no longer market neutral.","retest","The viral 50, re-tested","Daily","EWA / EWC",[33,36],[34,35],"Source code","https://github.com/QuantJourneyOrg/quantjourney-bt/blob/main/strategies/example_weights_14_pairs_hedge_ratio.py",[37,38],"Original results","https://backtester.quantjourney.cloud/strategies/example-weights-14-pairs-hedge-ratio","skip",1794261303665]