pairs-trading
We ran a multi-pair portfolio backtest across 11 exchanges, testing portfolio sizes of 5, 10, 15, and 20 pairs with equal-weight and inverse-volatility allocation. The strategy generated positive returns on 5 of 11 exchanges at the 20-pair inverse-vol configuration, but only Korea and Sweden beat a low risk-free rate. India
pairs-trading
We ran a multi-pair portfolio construction backtest on US stocks from 2005 to 2024, testing portfolio sizes from 5 to 20 pairs with two allocation methods. The result contradicts the standard diversification narrative: adding more pairs made returns worse, not better. Transaction costs erode marginal convergence gains, and the best
pairs-trading
We ran the same multi-pair pairs trading backtest on Indian stocks (BSE + NSE) from 2005 to 2024. With 5 pairs, the strategy returned +11.80% annually, beating the S&P 500's 9.81%. With 20 pairs, it dropped to +6.45%. Each pair added beyond the top