Individual skill

pair-trading

Pair trading strategy. Trades mean reversion using the spread/ratio Z-score of two correlated instruments. Requires at least two instruments.

agent/src/skills/pair-trading/SKILL.md

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Last checked: Nov 9, 2026

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Repository stars (not skill ratings): 37,985
Repository last updated: Nov 9, 2026
License: MIT

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backtesting Repository topic
multi-agent Repository topic
quantitative-finance Repository topic
trading Repository topic
ai-agent Repository topic
algorithmic-trading Repository topic
fintech Repository topic
llm Repository topic
mcp Repository topic
python Repository topic
engineering Derived category

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example_signal_engine.pyruns · 4,851 bytes

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# 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

1. **Compute the price ratio**: `ratio = close_A / close_B`
2. **Rolling mean and standard deviation**: `mean = ratio.rolling(lookback).mean()`, `std = ratio.rolling(lookback).std()`
3. **Z-score**: `z = (ratio - mean) / std`
4. **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)