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Statistical Arbitrage Screener
Find correlated stock pairs with temporary divergences. When historically cointegrated pairs deviate from their equilibrium spread, they tend to revert. Rank by Z-score to find the strongest signals.
Correlation (252d): Pearson correlation over the past trading year. Higher is better (>0.80 preferred).
Cointegration: Engle-Granger test p-value < 0.05 indicates the spread is stationary and mean-reverting.
Hedge Ratio: The beta coefficient for position sizing. For every 1 share of Stock A, hold (hedge_ratio) shares of Stock B.
Z-Score: Current spread deviation from 20-day mean in standard deviations. |Z| > 2.0 suggests potential reversion.
Half-Life: Estimated days for spread to revert halfway to mean. Lower is better for short-term trades.