name: 配对交易策略 description: 配对交易策略框架，基于两个相关标的的价差或比值 Z-score 进行均值回归交易，至少需要两个标的。 category: strategy

Pair Trading Strategy

Purpose

Select two highly correlated instruments (such as stocks from the same industry or BTC/ETH), monitor how far their price ratio (or spread) deviates from the mean, and trade against extreme deviations while waiting for mean reversion.

Signal Logic

Compute the price ratio: ratio = close_A / close_B
Rolling mean and standard deviation: mean = ratio.rolling(lookback).mean(), std = ratio.rolling(lookback).std()
Z-score: z = (ratio - mean) / std
Signal generation:
- Z < -entry_z → long A, short B (ratio is too low, expected to revert)
- Z > +entry_z → short A, long B (ratio is too high, expected to revert)
- |Z| < exit_z → close the position (reverted back near the mean)

Implementation Notes

Pair trading requires exactly two instruments (codes array length = 2)
The first instrument is A (leg1), and the second is B (leg2)
Signals for A and B are opposite: when A is long, B is short, and vice versa
Equal-weight allocation only: A and B each take 50% of capital, with no precise hedge-ratio calculation

Parameters

Parameter	Default	Description
lookback	60	Lookback window for mean and standard deviation
entry_z	2.0	Entry Z-score threshold
exit_z	0.5	Exit Z-score threshold

Example `config.json`

{
  "source": "tushare",
  "codes": ["601318.SH", "601628.SH"],
  "start_date": "2023-01-01",
  "end_date": "2024-12-31",
  "initial_cash": 1000000,
  "commission": 0.001,
  "extra_fields": null
}

Cryptocurrency version:

{
  "source": "okx",
  "codes": ["BTC-USDT", "ETH-USDT"],
  "start_date": "2024-01-01",
  "end_date": "2024-12-31",
  "initial_cash": 1000000,
  "commission": 0.001,
  "extra_fields": null
}

Common Pitfalls

codes must contain exactly 2 instruments, no more and no less
The date indexes of the two instruments must be aligned (use an inner join), otherwise the ratio calculation will be wrong
Before the lookback window is filled, Z-scores are NaN, so fill signals with 0
Do not generate same-direction signals for both A and B; pair trading is fundamentally a long-short hedge

Dependencies

pip install pandas numpy

Signal Convention

Instrument A: 0.5 = long, -0.5 = short, 0 = flat
Instrument B: direction is opposite to A