From: | 2020-01-02 | To: | 2023-12-01 |

Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |

SUM | Summit Materials Inc | Basic Materials | Building Materials | 7525 | 43.2 | 930257 | |

VMC | Vulcan Materials Company | Basic Materials | Building Materials | 35361 | 0.0069 | 267.43 | 802852 |

Here we apply an orthogonal regression (also known as total least squares) to both price series. We are interested in some key statistical properties (like β, ...) and in analysing orthogonal residuals:

Regression coefficient α:

-10.760369

Regression coefficient β:

0.226769

Standard Deviation (σ):

2.273957

ADF test of residuals (p-value):

0.0084

95% confidence: residuals don't contain a unit root

99% confidence: residuals don't contain a unit root

Mean Reversion Coefficient (MRC):

-0.024784

Half-life:

27.97

Skewness:

0.2345

Kurtosis:

-0.2891

Doornik-Hansen normality test (p-value):

0.0001

Normality test failed at 95% confidence

Shapiro-Wilk normality test (p-value):

(<< 0.0001)

Normality test failed at 95% confidence

In this section, Engle-Granger cointegration test is performed using OLS regression method in both directions. Residuals of the regression are plotted and analyzed further:

Profit analysis is a set of backtests performed using multiple pair trading models over significant portion of parameter space. Backtest results are displayed in a form of scatter plot. In addition, you can see aggregated statistics in the left panel. All backtests are performed using 100% margin (leverage 1:1). This is the profit analysis where backtested strategies are allowed to open both **long and short** positions:

This is the profit analysis where backtested strategies are allowed to open **long positions** only:

This is the profit analysis where backtested strategies are allowed to open **short positions** only:

This profit analysis has been performed using strategies with inverted signals and transformed prices. Mostly useful for trading pairs composed of an inverse ETF in order to stay market-neutral (more info).
**"even"** means that the first leg is both inverted and transformed, **"odd"** means that the first leg is transformed but the second leg is inverted.

Backtested strategies have been allowed to open both **long and short** positions:

This is the profit analysis where backtested strategies are allowed to open **long positions** only:

This is the profit analysis where backtested strategies are allowed to open **short positions** only: