Statistical Arbitrage
Technical Specification, Mathematical Formulation, Market Data Inputs, and Systematic Execution Rules.
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Strategy Objective, Rationale & Market Regimes
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Market Data Inputs
The quantitative engine processes high-fidelity financial market data stored in high-performance QuestDB time-series tables across dual resolution layers:
1. End-of-Day (EOD) OHLCV Dataset (Primary)
Primary data source utilized for indicator calculations, mathematical factor modeling, and primary trade signal generation.
- • Open, High, Low, Close (OHLC): Split & dividend adjusted.
- • Volume: Total daily traded share volume.
- • Universe Coverage: Active US equities spanning Russell 3000 and S&P 500.
2. 15-Minute Intraday Bar Dataset (Auxiliary)
High-frequency intraday bars utilized for auxiliary multi-timeframe confirmation and higher-timeframe regime alignment.
- • 15m Interval Bars: Intraday pricing sequence.
- • EMA(50, 200, 800) 15m: Triple Exponential Moving Average pattern detection.
- • Purpose: Auxiliary signal evaluation and execution timing filter.
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Indicators and Mathematical Formulations
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