Hi Everyone,

In this strategy, we model a Pairs Trading Process as an Ornstein-Uhlenbeck Process in order to derive the Optimal Entry and Liquidation values. I had the chance to ask the co-author of this strategy, Professor Leung, the Director of the CFRM department at the University of Washington (which is where I am attending right now), for help on this strategy. I will attach a backtest, and the full writeup can be found here. Furthermore, this one comes with a video walkthrough! The URL for the video can be found on the page linked earlier or here.

Shile Wen