This quarter PairTrade Finder® offers the option to autoload out latest vintage of hand-curated USA equities pairs we call the TOP 60. You may like to use these pairs to see what type of backtesting criteria we suggest and to generate ongoing trading signals. These U.S. Pair Stars vintages are generally updated every 2-4 months.

JANUARY 2024 TOP 60 STOCK PAIR STARS' parameters are as follows:

  • USA-Exchange-Traded (NYSE/NASDAQ/AMEX), > $2 bln mkt cap, > $2 million/day of average daily traded volume($), easy-to-borrow
  • Fundamentally Correlated: same national market, same sector, usually same industry sub group. Preference for beta and market-cap-similar pairs
  • Three-year backtest lookback period
  • 60-day Standard Deviation and Moving Average of Core Ratio lookback settings
  • Backtested with a ONE-LAYER +/-2.7sd Entry Stretch and a +/-1.0sd Exit Stretch on the Moving Average of the Core Ratio of the pair's share prices
  • Position-sized at $10,000/leg for each trade. We suggest you paper trade first or lower leg size substantially when learning the software and system
  • 0.10% Commissions/Slippage per trade estimate based on Interactive Brokers' average execution costs
  • Maximum Days in Trade of 60 days. This setting represents our time stop
  • COINTEGRATION: We use the Augmented Dicky Fuller test for co-integration and we generally select only pairs with a p-value of 0.10 or less (see Wild Cards below). This figure is presented in PTF PRO as Reverse Cointegration i.e. 1 minus the p-value. So we look for 0.90 reading or greater. 0.88+ is considered within tolerance.
  • CORRELATION: target of 50%+. Lower correlation tolerated if pair is strongly cointegrated and scores highly on all other criteria, or for our WILD CARD pairs (see below)
  • Minimum Average Profit Per Trade: $300, preferably $400+. Minimum 6 trades over 3 years. Compound Annual Growth Rate of Net Profits, on a self-financing basis (i.e. before leverage), preferably in excess of Maximum Drawdown % i.e. positive reward/risk. Maximum drawdown < 20%, preferably <15%
  • Win Rate: at least 70%, target of > 80%
  • Total Commissions/Slippage: < 20% of Gross Profit
  • WILD CARD PAIRS ADDED: we’ve added some pairs that don’t meet our correlation and cointegration filters but that have EXCEPTIONAL looking in-sample backtests over the last two years. We call these WILD CARDS and we think they bear further study of their signals…

NB: These example equities pairs are provided for informational and educational purposes only and should not be construed as personalized investment advice. It should not be assumed that trading using the parameters demonstrated by the Software will be profitable and will not result in losses. Any performance results of our recommendations prepared by www.pairtradefinder.com are not based on actual trading of securities but are instead based on a hypothetical trading account.  Hypothetical performance results have many inherent limitations. Your actual results will vary. Please see our full Terms & Disclaimer here

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