Price & Market BehaviorCore researchlive in production

Cointegrated Pairs

Updated dailyData needs: medium

In plain terms

Same idea as pairs reversion, but first checks the stock and its sector ETF actually share a long-run equilibrium (cointegration).

How it works

Engle-Granger 2-step cointegration test (Gatev-Goetzmann-Rouwenhorst 2006): tests the stock vs its sector ETF for cointegration before trading the spread. Without cointegration the z-score spread is spurious and pairs trading breaks down. Run cointegration on the first 70% of history; only trade the spread signal on the remaining holdout if the p-value < 0.05.

Live results

6 times picked on its own · 536 times inside a blend (431 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 536 such blended picks (431 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Sector ETF prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

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