PROJECT-03 — Pairs Trading with Cointegration & Z-Score

Time-SeriesStatsBacktesting

Overview & Results

Equity curve of a sample pair strategy.

Equity curve of a sample pair strategy.

Z‑score signal used for entry/exit.

Z‑score signal used for entry/exit.

SUMMARY

Ran Engle–Granger tests to select cointegrated pairs.
Built mean‑reversion trades driven by z‑score thresholds.
Included costs and realistic timing assumptions.
Logged trade‑by‑trade PnL for auditing.
Shared clean plots and metrics for replication.

Research Notebook

Full code is embedded below (nbviewer). Open in new tab: https://nbviewer.org/github/harshb2007/Quant-Portfolio/blob/main/QUANT%20PORTFOLIO/PROJECT-03-Pairs%20Trading%20Cointegration%20%26%20Z-Score/PROJECT-03_-_Pairs_Trading_with_Cointegration_%26_Z-Score.ipynb.