Backtest skeleton [python] spread = y - beta * * z = (spread - spread.mean ()) / spread.std() position = np.where(z › 2, -1, np.where(z < -2, 1, 0)) returns = position.shift(1) * spread.pct_change() sharpe = np.sqrt(252) * returns.mean() / returns.std() cum_ret = (1 + returns).cumprod() - 1 #fyp #trading #quant