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Is This Pair Trade Going To Reverse Anytime Soon?

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Obvious market trades that have already delivered smooth returns are not supposed to last long, but this pair trade is in its fourth year of dynamic performance. Is a reversal coming?

Since 2021, this pair trade has delivered an 11.2% annualized return with a maximum drawdown of just 6.7%. The Sharpe ratio is 1.13!


This pair trade is in its fourth consecutive winning year. The problem is that this trade has been obvious, and it is crowded since many macro newsletters have recommended it.

If a violent reversal occurs, a good fraction of the open profits could evaporate. But before that, let us look into the details.

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Specific disclaimer: This report includes charts that may reference price levels. The charts may not be updated if market conditions change the price levels or any analysis based on them. All charts in this report are for informational purposes only. See the disclaimer for more information.

Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.

Charting and backtesting program: Amibroker. Data provider: Norgate Data

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