📈 Stat-Arb Engine

A modular Python backtesting engine for pairs trading using a statistical arbitrage strategy.
The system identifies cointegrated asset pairs, calculates dynamic hedge ratios, and generates trading signals from the Z-score of their spread.
It supports volatility targeting and transaction cost simulation for realistic performance evaluation.

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🚀 Features

• Dynamic Hedge Ratio
  Rolling OLS regression adapts hedge ratios to changing market conditions.
• Z-Score Signal Generation
  Standardized spread deviations trigger entry and exit signals.
• Configurable Parameters
  Adjust tickers, rolling windows, and thresholds in config.py.
• Volatility Targeting
  Scales positions for stable risk exposure.
• Transaction Costs
  Simple cost model to reflect real-world frictions.
• Modular Design
  Separate modules for data, signals, backtesting, and reporting.

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⚙️ Installation

git clone https://github.com/yourname/stat_arb_engine.git
cd stat_arb_engine
pip install -r requirements.txt
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