Intelligent Pairs Trading

Strategy overview


This strategy is focused on trading the broad S&P500 market benchmark vs the 20+ years government bond, it uses two ETFs to represent the underlying asset, in addition, it uses Artificial Intelligence technology to accurately predict the most efficient asset allocation among the two.

The main goal of this strategy is to maximize the Sharpe Ratio, which is an industry standard for returns per unit of risk, it is a low-frequency strategy backtested for the past 15+ years for the maximum possible Sharpe ratio value.

  • Annual Return: 11%
  • DrawDown: -14%
  • Sharpe: 1.8

Is this strategy right for you?

This is a low volatility – high return strategy for long term investors, suitable for traders who wish to beat the market in the long run.


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Strategy performance


Check out the facts and figures behind this trading strategy

-4.36%

Last 3 Months %

$-4,923.68

Last 3 Months Gain

-2.68%

Last 6 Months %

$-2,981.55

Last 6 Months Gain

Intelligent Pairs Trading

Universe:
SSO, UBT
Entry, Exit Rules - this strategy is hard to follow. Unlike all other strategies, since it uses a proprietary neural network trained on specific price action to maximize Sharpe ratio on predicted price action. It allocates all 100% of the portfolio between the traded assets to maximize the Sharpe ratio. In addition, it uses the VIX as a measure of risk management, when VIX is above 60 it cuts current positions in half and moves to 50% cash until the VIX goes back below 60