AI 中文总结
本研究通过PEP-KO配对交易案例，检验基于协整的策略在样本外的稳健性，发现价差均值回归减弱导致策略失效。
AI 中文摘要
本文考察了基于协整的百事可乐与可口可乐公司之间的配对交易策略在统计上是否稳健且在经济上是否可开发。我们首先检验协整性，并估计2013-2018年间价差的均值回归动态，然后将这些统计参数固定，并在2018-2023年间样本内优化基于阈值的交易策略。稳健性通过交易成本和参数敏感性测试、滚动前向验证以及调整后和缩减后的夏普比率进行评估。随后，该策略在2023年至今的样本外期间进行评估，包括使用滚动OLS和卡尔曼滤波器分析时变对冲比率。结果表明，价差中均值回归动态的减弱削弱了该策略在样本外的有效性。
英文摘要
This paper examines whether a cointegration-based pairs trading strategy between PepsiCo and The Coca-Cola Company is statistically robust and economically exploitable. We first test for cointegration and estimate the spread's mean-reversion dynamics over 2013-2018, then hold these statistical parameters fixed and optimise a threshold-based trading strategy in-sample over 2018-2023. Robustness is assessed through transaction-cost and parameter sensitivity tests, walk-forward validation, and Adjusted and Deflated Sharpe Ratios. The strategy is then evaluated out-of-sample from 2023 to the present, including an analysis of time-varying hedge ratios using rolling OLS and a Kalman filter. The results show that weakening mean-reversion dynamics in the spread undermine the effectiveness of the strategy out-of-sample.
