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T06 · Mean Reversion

The Profitability of Pairs Trading Strategies: Distance, Cointegration and Copula Methods

Hossein Rad et al. (3 authors), 2016 · Quantitative Finance

0%
pass@1 across 16 systems
0/16
systems with ≥1 successful attempt
0/5
no system produced a successful attempt
80 attempts · 16 systems × 5
Claude Code + Opus 5
0%
Claude Code + Opus 4.8
0%
Claude Code + Opus 4.7
0%
Codex + GPT-5.6-sol
0%
Codex + GPT-5.5
0%
OpenCode + Kimi-K3
0%
OpenCode + Opus 4.7
0%
OpenCode + GPT-5.5
0%
OpenCode + Sonnet 4.6
0%
OpenCode + Qwen3.7-Max
0%
OpenCode + GLM-5.2
0%
OpenCode + DeepSeek V4-Pro
0%
OpenCode + GLM-5.1
0%
OpenCode + Qwen 3.6 Plus
0%
OpenCode + MiniMax-M3
0%
OpenCode + MiniMax M2.7
0%
all checkers pass Type-A clean, Type-B fail fail checking timeout no result / incomplete
Strategy

What the paper asks for.

Five-copula pairs trading on CRSP common stocks: form pairs over 12-month windows by lowest sum of squared distance, fit IFM marginals + best-AIC copula, trade the resulting mispricing index over the next 6 months in six overlapping portfolios of the top-20 pairs.

Type
statistical_arbitrage
Implementation
pandas
Rebalance
monthly
Long-short
yes
Declared task setup
Data
One-command fetcher for WRDS-sourced task data
Operational scope
The paper-defined methodological core is retained; the fixed instruction instantiates only the data mappings, interfaces, and evaluation conventions needed for execution.
Six-stage quantitative strategy pipeline
  1. 01 Data loading
  2. 02 Feature engineering
  3. 03 Model fitting
  4. 04 Signal generation
  5. 05 Portfolio construction
  6. 06 Execution
Checker suite

19 properties · 80 attempts.

Each row is one requirement the strategy must satisfy. The bar reports the share of observed checker verdicts that pass; missing checker output is not converted into a property verdict.

TYPE A · DOMAIN-LEVEL (9)
  • A1
    no backfill
    48/68
  • A2
    no global normalize
    48/68
  • A3
    no future data access
    59/68
  • A4
    causal consistency
    46/68
  • A5
    no survivorship
    61/68
  • A6
    no lookahead in ranking
    57/68
  • A8
    no peek data
    68/68
  • A9
    execution lag
    65/68
  • A10
    e2e metric consistency
    0/68
TYPE B · PAPER-SPECIFIC (10)
  • B1
    formation window length
    §§4 p.1545 “a period of 6 months, the trading period, to execute the strategy using the parameters estimated in the previous 12 months, which we call the formation period”
    provenance · paper-explicit
    stage · model fit
    58/68
  • B2
    top n pairs per portfolio
    §§4.3.2 p.1546 “nominate 20 pairs with the least SSD”
    provenance · paper-explicit
    stage · signal gen
    59/68
  • B3
    overlapping portfolios count
    §§4 p.1545 “we have six overlapping 'portfolios', with each portfolio associated with a trading period that has started in a different month”
    provenance · paper-explicit
    stage · portfolio
    52/68
  • B4
    copula family candidates
    §§4.3.2 p.1547 “we allow for a range of copulas to be employed in this step, namely the Clayton, Rotated Clayton, Gumbel, Rotated Gumbel and Student-t”
    provenance · paper-explicit
    stage · feature eng
    41/68
  • B5
    ifm two step mle procedure
    §§4.3.2 p.1547 “the second step, with the estimated marginal models' parameters from the previous step, we nominate the copula that best fits the uniform marginals and parameterize the copula”
    provenance · paper-explicit
    stage · model fit
    55/68
  • B6
    mispricing index m1 formula
    §Eq (12), §4.3.2 p.1547 “m_{1,t} = h_1(u_1|u_2) - 0.5 = P(U_1 ≤ u_1|U_2 = u_2) - 0.5”
    provenance · paper-explicit
    stage · feature eng
    44/68
  • B7
    cumulative m accumulation and reset
    §Eq (13), §4.3.2 p.1547 “The cumulative mispriced indicies M_1 and M_2, which are set to zero at the beginning of the trading period are calculated each day ... The pair is then monitored for other possible trades throughout the remainder of the trading period.”
    provenance · paper-explicit
    stage · feature eng
    43/68
  • B8
    drop bottom decile market cap
    §§3 p.1544 “removing the bottom decile stocks, in terms of market cap, in each formation period”
    provenance · paper-explicit
    stage · data loading
    54/68
  • B9
    drop any no trade day in formation
    §§3 p.1544 “we use trading volume to filter out stocks that have at least one day without trading in any formation period in the respective trading period”
    provenance · paper-explicit
    stage · data loading
    49/68
  • B10
    copula selection criterion
    §§4.3.2 p.1547 “the best copula is chosen by maximizing the log likelihood of each copula density function and calculating the corresponding AIC and BIC. The copula associated with the highest AIC and BIC is then selected”
    provenance · paper-explicit
    stage · model fit
    45/68
What this task reveals

The lowest-passing observed requirement is e2e metric consistency: 0 of 68 observed checker verdicts pass. The full property list above shows whether errors concentrate in domain-level validity or the paper-specific strategy logic.

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T07 · A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance