Sharpe-optimised-pairs-trading---Euclidean-Distance

Training dates      2017–01–01 to 2019–06–30   (30 months)
Test dates          2019–07–01 to 2019–12–31   (6 months)
Universe            200 largest cap S&P500 stocks (daily)
Leverage            17.97 : 1
Best_thresh         2.2
Best_sharpe_filter  1.6
Total return        2.354352
APR                 9.834078
Annualised Sharpe   4.682447
Max Drawdown        -0.143451
MaxDD Duration      17 Days