https://jonnie.github.io/tags/statistical-arbitrage/Recent content in Statistical-Arbitrage on Jonathan FranklinHugoenThu, 30 Jul 2026 00:00:00 +0000https://jonnie.github.io/work/statistical-arbitrage-strategy/Thu, 30 Jul 2026 00:00:00 +0000https://jonnie.github.io/work/statistical-arbitrage-strategy/<h2 id="problem">Problem</h2> <p>Pricesearcher wanted to research statistical arbitrage as another strategy for its FX/CFD trading operation. The approach measures a pair&rsquo;s spread as a z-score, enters when it moves away from its recent range, and seeks an exit as it reverts. The difficult part is assessing whether that relationship persists, how execution and risk settings affect the result, and what happens when several setups share an account.</p> <h2 id="architecture">Architecture</h2> <p>Research workflows load and resample bar data, rank pairs and feed backtesting tools. Scheduled AWS services run the signal engine against the <a href="https://jonnie.github.io/work/mt5-ohlcv-pipeline/">S3 bar lake</a>, while an on-demand service uses the same engine for historical inputs. MQL5 and Python engines execute configured setups, with trade-level reporting and Slack monitoring closing the review loop.</p>