AI Pair Trading System v1.0

Category: volatility, momentum, market_structure

A statistical arbitrage tool that calculates the spread/ratio between two assets using a Kalman Filter for dynamic mean reversion, supported by a weighted ML scoring system.

Formula

\text{Spread} = \ln(P_A) \text{ or } \frac{P_A}{P_B} \\ \text{Kalman Mean} (\hat{x}_t) = \hat{x}_{t-1} + K_t(\text{Spread}_t - \hat{x}_{t-1}) \\ \text{Z-Score} = \frac{\text{Spread} - \text{SMA}(\text{Spread}, n)}{\text{StdDev}(\text{Spread}, n)} \\ \text{Signal Score} = \sum (w_i \cdot \text{Feature}_i)

Inputs

• pairSymbol (default: BINANCE:ETHBTC)
• lookbackPeriod (default: 100)
• entryZScore (default: 2.0)
• useMLScoring (default: true)

See signal primitives and every published strategy that uses AI Pair Trading System v1.0 on WOBR StrategyVerse.