Pairs and stat arb: 10 Backtests

We backtested 10 pairs and stat arb strategies across crypto, ETFs, US stocks. 0 beat buy-and-hold before correction; best −11.3 pts/yr.

Every result below is the strategy's annualized return minus buy-and-hold on the same assets and days, charged real trading costs and scored only on data up to the discovery cutoff. See the full family index, the full method and every result, or download the raw registry (JSON).

0 of these 10 strategies were significant at p < 0.05 before any correction for multiple testing, and 0 of 10 beat buy-and-hold on the raw excess-return number across crypto, ETFs, US stocks. Across the whole registry we ran 260 tests and applied one Benjamini-Hochberg correction; only 0 of those survived it, which is why a single significant p-value inside one family isn't treated as a working edge here — the correction is explained in full on the evidence page. This family was last re-scored on 2026-09-18, using only data up to the 2025-03-15 discovery cutoff — the same freeze point every family in the registry is held to, so none of them can see data the others couldn't. Pairs and stat arb is tested across 3 asset classes (crypto, ETFs, US stocks); a strategy only joins this family because of the signal it trades on, not the asset it's tested against.

Cointegrated ETF pair (e.g. XLE/XOP, GLD/SLV) z-score reversion (ETFs): −11.3 pts/yr, behind buy-and-hold, p=1.000. Source: Gatev, Goetzmann, Rouwenhorst 2006 'Pairs Trading: Performance of a Relative-Value Arbitrage Rule'.
Sector ETF short-term reversal (1-week) (ETFs): −11.8 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh 1990 JF; Lehmann 1990 QJE.
RSI(2) mean reversion, SPY/QQQ (retest with BH2's failure checks) (ETFs): −12.2 pts/yr, behind buy-and-hold, p=1.000. Source: Connors & Alvarez 'Short Term Trading Strategies That Work'.
Sector ETF short-term reversal (1-week) (wide US stocks) (US stocks): −13.4 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh 1990 JF; Lehmann 1990 QJE.
Bollinger %B reversion on large-cap crypto (wide US stocks) (US stocks): −14.2 pts/yr, behind buy-and-hold, p=1.000. Source: John Bollinger's writings; widespread crypto retail use.
Cross-sectional 1-day reversal, liquid large-cap stocks (wide US stocks) (US stocks): −29.4 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh 1990; Lo & MacKinlay 1990 RFS (short-term reversal); universe = harness's US_STOCKS_DAILY 40 large caps (S&P100 not available).
Cross-sectional 1-day reversal, liquid large-cap stocks (US stocks): −34.2 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh 1990; Lo & MacKinlay 1990 RFS (short-term reversal); universe = harness's US_STOCKS_DAILY 40 large caps (S&P100 not available).
Crypto Fear & Greed Index contrarian entries (crypto): −59.6 pts/yr, behind buy-and-hold, p=1.000. Source: alternative.me Fear & Greed Index.
Crypto 1-day reversal after a high-volume down day (crypto): −66.4 pts/yr, behind buy-and-hold, p=1.000. Source: Nagel 2012 RFS (short-term reversal & liquidity provision), volume-conditioned.
Bollinger %B reversion on large-cap crypto (crypto): −81.2 pts/yr, behind buy-and-hold, p=1.000. Source: John Bollinger's writings; widespread crypto retail use.