BACKTEST · PAIRS
Classic pairs trading (long/short)
KO / PEP pair: two sleeves. Below -2 z: long KO, short PEP. Above +2 z: short KO, long PEP. Exit at z = 0.
From 2015-01-02 to 2024-12-31, this rule made 70 trades and returned -1.6%. Buying and holding SPY returned +185.3% over the same dates. The largest drop from a past high was 7.4%.
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SCORE
Portfolio equity vs benchmark
The rule
KO / PEP pair: two sleeves. Below -2 z: long KO, short PEP. Above +2 z: short KO, long PEP. Exit at z = 0. Orders fill at the next close.
ENTER WHEN
KO / PEP z-score beyond 2: buy the cheap one, short the rich one
EXIT WHEN
z-score back to 0
FIRST TRADE, FROM THE REPORT
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Did it beat SPY?
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How it did over time
Strategy in orange-red. SPY buy and hold in light.
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The same result in an AI chat
This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.
Strategy equity in orange-red, SPY in light. Historical test only.
Every trade
70 trades and 140 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2015-06-08 | 2015-06-09 | KO | Sell | $40.20 | entry |
| 2015-06-08 | 2015-06-09 | PEP | Buy | $93.07 | entry |
| 2015-06-22 | 2015-06-23 | KO | Buy | $40.38 | exit |
| 2015-06-22 | 2015-06-23 | PEP | Sell | $95.60 | exit |
| 2015-07-01 | 2015-07-02 | KO | Buy | $39.49 | entry |
| 2015-07-01 | 2015-07-02 | PEP | Sell | $94.66 | entry |
| 2015-07-15 | 2015-07-16 | KO | Sell | $41.48 | exit |
| 2015-07-15 | 2015-07-16 | PEP | Buy | $96.90 | exit |
| 2015-08-17 | 2015-08-18 | KO | Buy | $41.30 | entry |
| 2015-08-17 | 2015-08-18 | PEP | Sell | $99.77 | entry |
| 2015-08-25 | 2015-08-26 | KO | Sell | $38.73 | exit |
| 2015-08-25 | 2015-08-26 | PEP | Buy | $92.49 | exit |
| 2015-11-24 | 2015-11-25 | KO | Sell | $43.36 | entry |
| 2015-11-24 | 2015-11-25 | PEP | Buy | $100.50 | entry |
| 2016-01-06 | 2016-01-07 | KO | Buy | $41.62 | exit |
| 2016-01-06 | 2016-01-07 | PEP | Sell | $97.57 | exit |
| 2016-01-15 | 2016-01-19 | KO | Sell | $41.92 | entry |
| 2016-01-15 | 2016-01-19 | PEP | Buy | $95.77 | entry |
| 2016-04-13 | 2016-04-14 | KO | Buy | $45.83 | exit |
| 2016-04-13 | 2016-04-14 | PEP | Sell | $103.16 | exit |
| 2016-07-07 | 2016-07-08 | KO | Buy | $45.38 | entry |
| 2016-07-07 | 2016-07-08 | PEP | Sell | $108.27 | entry |
| 2016-11-14 | 2016-11-15 | KO | Sell | $41.44 | exit |
| 2016-11-14 | 2016-11-15 | PEP | Buy | $101.85 | exit |
| 2017-02-09 | 2017-02-10 | KO | Buy | $40.58 | entry |
| 2017-02-09 | 2017-02-10 | PEP | Sell | $106.10 | entry |
| 2017-05-01 | 2017-05-02 | KO | Sell | $43.39 | exit |
| 2017-05-01 | 2017-05-02 | PEP | Buy | $112.29 | exit |
| 2017-05-08 | 2017-05-09 | KO | Sell | $43.51 | entry |
| 2017-05-08 | 2017-05-09 | PEP | Buy | $112.72 | entry |
| 2017-07-06 | 2017-07-07 | KO | Buy | $44.39 | exit |
| 2017-07-06 | 2017-07-07 | PEP | Sell | $115.51 | exit |
| 2017-07-27 | 2017-07-28 | KO | Sell | $46.01 | entry |
| 2017-07-27 | 2017-07-28 | PEP | Buy | $116.61 | entry |
| 2017-08-14 | 2017-08-15 | KO | Buy | $46.19 | exit |
| 2017-08-14 | 2017-08-15 | PEP | Sell | $118.97 | exit |
| 2017-09-01 | 2017-09-05 | KO | Sell | $45.92 | entry |
| 2017-09-01 | 2017-09-05 | PEP | Buy | $115.87 | entry |
| 2017-11-15 | 2017-11-16 | KO | Buy | $46.55 | exit |
| 2017-11-15 | 2017-11-16 | PEP | Sell | $115.23 | exit |
Show all 140 fills
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2017-11-28 | 2017-11-29 | KO | Buy | $45.50 | entry |
| 2017-11-28 | 2017-11-29 | PEP | Sell | $116.84 | entry |
| 2018-01-26 | 2018-01-29 | KO | Sell | $47.70 | exit |
| 2018-01-26 | 2018-01-29 | PEP | Buy | $119.67 | exit |
| 2018-02-14 | 2018-02-15 | KO | Sell | $44.78 | entry |
| 2018-02-14 | 2018-02-15 | PEP | Buy | $110.97 | entry |
| 2018-03-13 | 2018-03-14 | KO | Buy | $43.78 | exit |
| 2018-03-13 | 2018-03-14 | PEP | Sell | $112.61 | exit |
| 2018-04-12 | 2018-04-13 | KO | Sell | $44.51 | entry |
| 2018-04-12 | 2018-04-13 | PEP | Buy | $109.26 | entry |
| 2018-06-14 | 2018-06-15 | KO | Buy | $44.12 | exit |
| 2018-06-14 | 2018-06-15 | PEP | Sell | $107.61 | exit |
| 2018-09-27 | 2018-09-28 | KO | Sell | $46.19 | entry |
| 2018-09-27 | 2018-09-28 | PEP | Buy | $111.80 | entry |
| 2018-11-29 | 2018-11-30 | KO | Buy | $50.40 | exit |
| 2018-11-29 | 2018-11-30 | PEP | Sell | $121.94 | exit |
| 2018-12-19 | 2018-12-20 | KO | Sell | $47.54 | entry |
| 2018-12-19 | 2018-12-20 | PEP | Buy | $110.21 | entry |
| 2019-01-31 | 2019-02-01 | KO | Buy | $48.70 | exit |
| 2019-01-31 | 2019-02-01 | PEP | Sell | $112.19 | exit |
| 2019-02-14 | 2019-02-15 | KO | Buy | $45.24 | entry |
| 2019-02-14 | 2019-02-15 | PEP | Sell | $115.91 | entry |
| 2019-05-23 | 2019-05-24 | KO | Sell | $49.61 | exit |
| 2019-05-23 | 2019-05-24 | PEP | Buy | $129.50 | exit |
| 2019-07-01 | 2019-07-02 | KO | Sell | $51.98 | entry |
| 2019-07-01 | 2019-07-02 | PEP | Buy | $132.43 | entry |
| 2019-09-09 | 2019-09-10 | KO | Buy | $54.40 | exit |
| 2019-09-09 | 2019-09-10 | PEP | Sell | $135.86 | exit |
| 2019-10-11 | 2019-10-14 | KO | Buy | $53.30 | entry |
| 2019-10-11 | 2019-10-14 | PEP | Sell | $137.45 | entry |
| 2019-11-20 | 2019-11-21 | KO | Sell | $52.96 | exit |
| 2019-11-20 | 2019-11-21 | PEP | Buy | $133.91 | exit |
| 2019-12-23 | 2019-12-24 | KO | Sell | $54.71 | entry |
| 2019-12-23 | 2019-12-24 | PEP | Buy | $136.89 | entry |
| 2020-02-27 | 2020-02-28 | KO | Buy | $53.49 | exit |
| 2020-02-27 | 2020-02-28 | PEP | Sell | $132.03 | exit |
| 2020-03-13 | 2020-03-16 | KO | Buy | $45.26 | entry |
| 2020-03-13 | 2020-03-16 | PEP | Sell | $113.09 | entry |
| 2020-06-03 | 2020-06-04 | KO | Sell | $47.92 | exit |
| 2020-06-03 | 2020-06-04 | PEP | Buy | $130.57 | exit |
| 2020-09-03 | 2020-09-04 | KO | Sell | $51.04 | entry |
| 2020-09-03 | 2020-09-04 | PEP | Buy | $138.76 | entry |
| 2020-10-01 | 2020-10-02 | KO | Buy | $49.36 | exit |
| 2020-10-01 | 2020-10-02 | PEP | Sell | $138.06 | exit |
| 2020-11-09 | 2020-11-10 | KO | Sell | $53.98 | entry |
| 2020-11-09 | 2020-11-10 | PEP | Buy | $141.72 | entry |
| 2020-11-27 | 2020-11-30 | KO | Buy | $51.60 | exit |
| 2020-11-27 | 2020-11-30 | PEP | Sell | $144.23 | exit |
| 2021-01-07 | 2021-01-08 | KO | Buy | $51.08 | entry |
| 2021-01-07 | 2021-01-08 | PEP | Sell | $144.18 | entry |
| 2021-02-11 | 2021-02-12 | KO | Sell | $50.69 | exit |
| 2021-02-11 | 2021-02-12 | PEP | Buy | $133.87 | exit |
| 2021-02-12 | 2021-02-16 | KO | Sell | $50.27 | entry |
| 2021-02-12 | 2021-02-16 | PEP | Buy | $134.38 | entry |
| 2021-04-20 | 2021-04-21 | KO | Buy | $54.61 | exit |
| 2021-04-20 | 2021-04-21 | PEP | Sell | $146.98 | exit |
| 2021-06-11 | 2021-06-14 | KO | Sell | $55.55 | entry |
| 2021-06-11 | 2021-06-14 | PEP | Buy | $148.57 | entry |
| 2021-06-15 | 2021-06-16 | KO | Buy | $54.67 | exit |
| 2021-06-15 | 2021-06-16 | PEP | Sell | $147.10 | exit |
| 2021-06-29 | 2021-06-30 | KO | Buy | $54.11 | entry |
| 2021-06-29 | 2021-06-30 | PEP | Sell | $148.17 | entry |
| 2021-12-17 | 2021-12-20 | KO | Sell | $57.54 | exit |
| 2021-12-17 | 2021-12-20 | PEP | Buy | $169.42 | exit |
| 2022-02-07 | 2022-02-08 | KO | Sell | $62.00 | entry |
| 2022-02-07 | 2022-02-08 | PEP | Buy | $172.02 | entry |
| 2022-05-10 | 2022-05-11 | KO | Buy | $64.31 | exit |
| 2022-05-10 | 2022-05-11 | PEP | Sell | $170.66 | exit |
| 2022-06-02 | 2022-06-03 | KO | Sell | $62.97 | entry |
| 2022-06-02 | 2022-06-03 | PEP | Buy | $164.85 | entry |
| 2022-06-29 | 2022-06-30 | KO | Buy | $62.91 | exit |
| 2022-06-29 | 2022-06-30 | PEP | Sell | $166.66 | exit |
| 2022-07-07 | 2022-07-08 | KO | Buy | $63.14 | entry |
| 2022-07-07 | 2022-07-08 | PEP | Sell | $171.88 | entry |
| 2022-11-11 | 2022-11-14 | KO | Sell | $60.73 | exit |
| 2022-11-11 | 2022-11-14 | PEP | Buy | $176.73 | exit |
| 2023-05-02 | 2023-05-03 | KO | Buy | $63.65 | entry |
| 2023-05-02 | 2023-05-03 | PEP | Sell | $192.18 | entry |
| 2023-07-19 | 2023-07-20 | KO | Sell | $62.39 | exit |
| 2023-07-19 | 2023-07-20 | PEP | Buy | $189.30 | exit |
| 2023-08-17 | 2023-08-18 | KO | Sell | $60.95 | entry |
| 2023-08-17 | 2023-08-18 | PEP | Buy | $178.18 | entry |
| 2023-09-07 | 2023-09-08 | KO | Buy | $58.33 | exit |
| 2023-09-07 | 2023-09-08 | PEP | Sell | $176.27 | exit |
| 2023-10-24 | 2023-10-25 | KO | Sell | $56.12 | entry |
| 2023-10-24 | 2023-10-25 | PEP | Buy | $162.35 | entry |
| 2024-02-06 | 2024-02-07 | KO | Buy | $59.99 | exit |
| 2024-02-06 | 2024-02-07 | PEP | Sell | $171.47 | exit |
| 2024-02-21 | 2024-02-22 | KO | Sell | $61.15 | entry |
| 2024-02-21 | 2024-02-22 | PEP | Buy | $168.25 | entry |
| 2024-03-18 | 2024-03-19 | KO | Buy | $60.23 | exit |
| 2024-03-18 | 2024-03-19 | PEP | Sell | $171.80 | exit |
| 2024-06-03 | 2024-06-04 | KO | Sell | $63.94 | entry |
| 2024-06-03 | 2024-06-04 | PEP | Buy | $173.89 | entry |
| 2024-10-10 | 2024-10-11 | KO | Buy | $69.57 | exit |
| 2024-10-10 | 2024-10-11 | PEP | Sell | $174.81 | exit |
| 2024-11-14 | 2024-11-15 | KO | Buy | $61.74 | entry |
| 2024-11-14 | 2024-11-15 | PEP | Sell | $158.62 | entry |
| 2024-12-11 | 2024-12-12 | KO | Sell | $63.84 | exit |
| 2024-12-11 | 2024-12-12 | PEP | Buy | $158.90 | exit |
Want to change this rule?
Ask the chat to try another ticker, other dates, a stop, or different fees. It runs the same engine on real past prices.
Risk warning
Short selling can lose more than your starting capital. Past results do not predict future returns. Not investment advice.