A Cooperative Dynamic Approach to Pairs Trading

Table 1

Results.

Period	Pairs	Operations	Average annual return	Sharpe ratio	Profits
2000–2002	10	245	−3,70%	−0.81	−6,35%
2000–2002	20	434	−4,20%	−1.11	−7,22%
2000–2002	30	630	−3,40%	−0.95	−5,91%
2003–2007	10	742	3,80%	1.04	12,86%
2003–2007	20	1266	3,10%	1.11	10,57%
2003–2007	30	1689	3,20%	1.36	11,04%
2007–2009	10	264	2,60%	0.41	4,14%
2007–2009	20	458	−0,50%	−0.09	−1,03%
2007–2009	30	588	−2,30%	−0.50	−4,00%
2008–2013	10	807	5,90%	1.63	27,49%
2008–2013	20	1351	5,40%	1.91	25,32%
2008–2013	30	1808	4,70%	1.68	22,00%
2014–2019	10	969	4,90%	2.38	22,73%
2014–2019	20	1685	2,00%	0.60	8,86%
2014–2019	30	2272	2,60%	0.89	11,64%
2018–2021	10	287	−2,50%	−0.34	−2,79%
2018–2021	20	576	1,00%	0.18	0,71%
2018–2021	30	787	1,90%	0.43	1,64%