Since January 2025, our PTF USA Equities Stat Arb Engine has quietly executed a fully automated, rules-based strategy across 136 US equity pairs using our Interactive Brokers’ paper trading facility. We have discussed previously the headline performance (+17.4% net return, –3.6% max drawdown, Sortino ~3.8). Now let’s dive into the trade-by-trade statistics that underscore why this is not just luck.
Trade-Level Performance: Precision in Execution
The strategy employs a mean-reversion framework, targeting temporary pricing dislocations. We curate a universe of highly correlated and cointegrated US equity pairs in the same or similar industry sub-sector.
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