StatArb Pairs Engine
ML Modelrunningby Anika Patel · v4 · daily
Cumulative Return
+30.00%
Sharpe
3.15
Sortino
4.20
Max Drawdown
-1.07%
Ann Return
+30.00%
Ann Vol
+8.00%
Calmar
3.75
Days Active
160
Cumulative Returns (%)
Drawdown (%)
Risk Limits
Max Drawdown
12%
Max Position
6%
Daily Loss Limit
3%
Max Orders/Tick
40
Current Positions (8 held)
JNJ
11.0% weight
PEP
9.1% weight
XOM
6.5% weight