As seen on
Track record
Two track records. Every trade on file.
TR#1: A 2025 Interactive Brokers paper account traded with Ultimate Alpha 3.
TR#2: A reconstructed account built from the 997 signals published in real time on PairTradingSignals.com from 2009 to 2011, generated with an early version of PairTrade Finder®.
Get both tear sheets and both trade logs by email.
| TR#1: PTF GH Beta Paper Account 2025 | TR#2: PairTradingSignals.com Account 2009-2011 | |||
|---|---|---|---|---|
| Account | SPY | Account | SPY | |
| Period | 7.5 months | 7.5 months | 33 months | 33 months |
| Total return | +17.4% | +10.8% | +114.2% | +52.7% |
| Annual return | +29.8%¹ | +18.1%¹ | +33.7% | +17.5% |
| Largest fall from a peak | −3.6% | −18.8% | −14.1% | −22.1% |
| Sortino ratio | 3.4² | 1.0² | 3.9⁴ | 1.7⁴ |
| Correlation with SPY⁵ | 0.56 | 0.02 | ||
| Trades | 432 closed | 997 published, 795 taken | ||
TR#1 · Traded paper account
PTF GH Beta: an Interactive Brokers paper account, valued every day
Every order was placed with Ultimate Alpha 3 and filled in Interactive Brokers’ paper-trading system, with IBKR’s commissions charged. The account was valued at market prices each day. No capital was at risk.
+17.4%
net return, 1 Jan to 13 Aug 2025. SPY +10.8%, FTLS +3.1%
+29.8%
annualised¹. SPY +18.1%, FTLS +5.0%
−3.6%
largest fall from a peak. SPY −18.8%, FTLS −11.5%
432
closed trades, 70.6% of them profitable
1.4x
average month-end leverage
Trade statistics · 432 trades
70.6%
win rate
+2.8%
average win
−4.3%
average loss
0.66
reward/risk
1.6
profit factor
+0.73%
average trade
16
average days in trade
12
median days in trade
+15.0%
largest win
−20.0%
largest loss
Each trade’s result after commissions, as a share of the value of both legs at entry. Reward/risk is average win ÷ average loss. Profit factor is total gains ÷ total losses.
PTF GH Beta
SPY (S&P 500 ETF)
FTLS (long/short equity ETF)
Value of 100 invested on 1 January 2025. Daily values, total return. Click or tap the chart to enlarge.
How it was run
US single stocks only
Mid-cap to mega-cap US shares. 133 pairs traded.
Small positions: 5% of equity at most per leg
$25,000 a leg on an account of about $1.1 million. From June, once the account passed $1.2 million, new pairs were entered at $30,000 a leg to keep the same percentage size. A leg was 2.0% to 2.5% of equity. A second layer was added in 27% of trades. The average leg was 2.8% of equity.
A rule against holding single legs overnight
Limit orders for at least half of trades. A half-filled pair is completed or closed before the market shuts. Three of the 432 trades are exceptions: one leg never filled and the trade ran as a single leg for 1 to 16 days.
Real commission rates
IBKR commissions came to 1.9 basis points of the value traded. Median holding period: 12 days.
Monthly returns, %
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug³ | Total (7.5 months) | Annualised¹ | |
|---|---|---|---|---|---|---|---|---|---|---|
| PTF GH Beta | +3.0 | +1.9 | +3.9 | +1.9 | +1.5 | −0.6 | +1.1 | +3.7 | +17.4 | +29.8 |
| SPY | +2.8 | −1.3 | −5.6 | −0.9 | +6.3 | +5.1 | +2.3 | +2.0 | +10.8 | +18.1 |
| FTLS | +2.6 | −1.7 | −3.3 | −0.8 | +3.1 | +1.5 | +0.7 | +1.2 | +3.1 | +5.0 |
Risk and return
| 1 Jan to 13 Aug 2025 | PTF GH Beta | SPY | FTLS |
|---|---|---|---|
| Return | +17.4% | +10.8% | +3.1% |
| Annualised return¹ | +29.8% | +18.1% | +5.0% |
| Largest fall from a peak | −3.6% | −18.8% | −11.5% |
| Volatility (annualised) | 13.4% | 23.2% | 12.3% |
| Sharpe ratio | 1.7 | 0.7 | 0.1 |
| Sortino ratio² | 3.4 | 1.0 | 0.2 |
| Correlation with SPY⁵ (daily) | 0.56 | 1.00 | 0.91 |
TR#2 · Published signals
PairTradingSignals.com Account 2009-2011
For 33 months PairTrade Finder®’s founder published pair-trade signals to subscribers of PairTradingSignals.com in real time: 997 closed trades, generated with an early version of the software. We rebuilt the record trade by trade and ran it the way a retail trader could have: the smallest account Interactive Brokers accepts for portfolio margin, at the most leverage it allows.
+114.2%
hypothetical return, 22 Jan 2009 to 7 Sep 2011. SPY +52.7%
+33.7%
a year, compounded (CAGR). SPY +17.5%
−14.1%
largest fall, on closed trades. SPY −22.1%
997
closed trades published; 795 taken, in date order
2.7x
average exposure, under a 6x cap
Trade statistics · 795 trades taken
67.0%
win rate
+2.1%
average win
−2.5%
average loss
0.83
reward/risk
1.7
profit factor
+0.56%
average trade
18
average days in trade
15
median days in trade
+29.2%
largest win
−13.0%
largest loss
Each trade’s result after estimated trading costs, as a share of the value of both legs at entry. Borrow and margin interest are charged to the account, not to each trade.
PairTradingSignals.com Account 2009-2011, after estimated costs
SPY, dividends reinvested
Growth of $110,000. Closed trades only, compounded. Click or tap the chart to enlarge.
How it was run
A retail account at IBKR’s limits
$110,000, the minimum for portfolio margin, with $10,000 a leg and gains reinvested. Exposure capped at 6x; it averaged 2.7x. At a 5x cap the return is +108.1%.
Stocks, ETFs and currencies
376 stock pairs, 480 ETF pairs and 140 currency pairs.
No hindsight
Signals taken in the order they were published. When the account was at its cap, new signals were skipped whatever their outcome.
Estimated costs
5 basis points per stock or ETF execution, 3 for currencies, 0.5% a year to borrow shorts, and IBKR’s margin rates of the time.
Monthly returns, %
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | Account | +1.5 | +8.2 | +16.8 | +9.4 | +10.7 | +8.7 | +4.8 | −5.4 | +4.2 | +6.0 | −6.9 | +3.0 | +77.1 |
| SPY | +0.1 | −10.7 | +8.3 | +9.9 | +5.8 | −0.1 | +7.5 | +3.5 | +3.5 | −1.9 | +6.2 | +1.9 | +37.5 | |
| 2010 | Account | 0.0 | +1.2 | +1.4 | −6.1 | +6.8 | −2.1 | +1.6 | +0.9 | +3.7 | −3.2 | +1.4 | −5.4 | −0.5 |
| SPY | −3.6 | +3.1 | +6.1 | +1.5 | −7.9 | −5.2 | +6.8 | −4.5 | +9.0 | +3.8 | 0.0 | +6.7 | +15.1 | |
| 2011 | Account | −0.7 | +2.4 | +8.4 | +2.4 | +1.1 | +3.1 | +1.1 | +3.1 | −0.9 | +21.5 | |||
| SPY | +2.3 | +3.5 | 0.0 | +3.0 | −1.2 | −1.7 | −2.2 | −5.4 | −1.5 | −3.5 |
Account = PairTradingSignals.com Account 2009-2011, closed trades, after estimated costs. January 2009 starts on 22 January; September 2011 ends on 7 September.
Returns by year
| PairTradingSignals.com | SPY | |
|---|---|---|
| 2009 (from 22 Jan) | +77.1% | +37.5% |
| 2010 | −0.5% | +15.1% |
| 2011 (to 7 Sep) | +21.5% | −3.5% |
| Total, 33 months | +114.2% | +52.7% |
| Per year (CAGR) | +33.7% | +17.5% |
Risk and return
| 22 Jan 2009 to 7 Sep 2011 | PairTradingSignals.com | SPY |
|---|---|---|
| Return | +114.2% | +52.7% |
| Annual return (CAGR) | +33.7% | +17.5% |
| Largest fall from a peak⁴ | −14.1% | −22.1% |
| Volatility (annualised) | 17.8% | 17.4% |
| Sharpe ratio⁴ | 1.7 | 1.0 |
| Sortino ratio⁴ | 3.9 | 1.7 |
| Correlation with SPY⁵ (monthly) | 0.02 | 1.00 |
Under harsher assumptions
| Total return | |
|---|---|
| As shown | +114.2% |
| 5x cap instead of 6x | +108.1% |
| Open positions counted at their last prices | +105.5% |
| Trading costs doubled | +89.4% |
| Costs doubled, borrow doubled and open positions counted | +78.3% |
Side by side
Two different kinds of evidence
The 2025 record is the stronger one: orders were placed and filled in a broker’s system and the account was valued daily. The 2009-2011 record is longer and covers the aftermath of the financial crisis, but it is a reconstruction from published signals.
| PTF GH Beta Paper Account 2025 | PairTradingSignals.com Account 2009-2011 | |
|---|---|---|
| What it is | Orders placed and filled in IBKR’s paper-trading system | A hypothetical account built from signals published at the time |
| Period | 1 Jan to 13 Aug 2025, 7.5 months | 22 Jan 2009 to 7 Sep 2011, 33 months |
| Annual return | +29.8% annualised¹ | +33.7% a year |
| Trades | 432 closed | 997 published, 795 taken |
| Win rate | 70.6% | 67.0% |
| Average win / loss | +2.8% / −4.3% | +2.1% / −2.5% |
| Reward/risk | 0.66 | 0.83 |
| Profit factor | 1.6 | 1.7 |
| Average days in trade | 16 | 18 |
| Largest win / loss | +15.0% / −20.0% | +29.2% / −13.0% |
| Correlation with SPY⁵ | 0.56, on daily returns | 0.02, on monthly returns from closed trades |
| Software | Ultimate Alpha 3 | An early version of PairTrade Finder® |
| Instruments | US single stocks, mid-cap to mega-cap | US stocks, ETFs and currencies |
| Size of each leg | 2.8% of equity on average, 5% at most | 9.1% of equity |
| Leverage | 1.4x average at month end | 2.7x average, 6x cap |
| Valued | Daily, at market prices | When each trade closed |
| Costs | As charged in the IBKR paper account | Estimated |
