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# Statistical Arbitrage — Configuration

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data:

universe: "sp100" # universe tag

start_date: "2018-01-01"

end_date: "2024-12-31"

cache_dir: "data" # local cache for downloaded prices

min_history_pct: 0.95 # drop tickers with >5% missing days

pair_selection:

formation_window: 252 # trading days

trading_window: 63

roll_step: 21 # roll monthly

coint_pvalue: 0.05 # Engle-Granger threshold

ou_model:

method: "mle" # parameter estimation method

signals:

entry_z: 2.0 # z-score entry (will be refined with OU-optimal)

exit_z: 0.0 # z-score exit (mean)

stop_z: 4.0 # stop-loss z-score

backtest:

transaction_cost_bps: 5 # round-trip, in basis points

initial_capital: 1_000_000