Hypotheses

QuantRocket GDX–GLD daily Johansen/Bollinger pairs strategy: faithful USEQ translation

Hypothesis

Translate QuantRocket's executable GDX_GLD_Pair subclass, preserving its daily rolling Johansen weights, one-standard-deviation bands, independent persistent long/short signal states, daily target-weight recalculation and next-session-open execution. Use GDX.USEQ as primary and GLD.USEQ as the secondary trading leg, both with 1-DAY-LAST-EXTERNAL bars. Original defaults are LOOKBACK_WINDOW=20, BBAND_STD=1, DB_FIELDS=['Close','Open']; the subclass selects GDX and GLD from usstock-1d. Original USStockCommission charges $0.005/share; replace that commission with platform USEQ zero commissions and modeled spread/impact, explicitly reporting the difference. Do not claim source profitability or add filters, stop-losses, cointegration significance tests or parameter optimization.

Analysis

PairsStrategy

Backtest and paper results are hypothetical. Trading involves risk of loss.

Strategies

Hypothesis

Analysis