Caicai Long and Short Pair Trading

CaicaiLS Pro - Advanced Pair Trading & Statistical Arbitrage (Version 9.0)

The CaicaiLS Pro is a quantitative Expert Advisor designed for Long & Short operations (Pair Trading) using Statistical Arbitrage. Developed for traders seeking precision, it tracks correlation and cointegration anomalies across multiple asset pairs simultaneously, seeking performance in both mean reversion and momentum breakouts.

Its advanced architecture features the introduction of Shadow Execution technology. The mathematical cycle runs continuously in an integrated virtual engine, while the real account acts as an on-demand mirror for order execution. It operates across multiple markets such as Stocks, REITs, and Futures, as well as Forex, Cryptocurrencies, and International Indices (USA30, USA500). The EA features an expanded interactive on-chart dashboard with 6 analytical tabs, offering detailed control and real-time statistical telemetry of the entire portfolio.

What's New in Version 9.0 Pro (Shadow Engine + Target Scoping)

• Universal "Shadow Execution" Engine: The core of the EA processes risk and the mathematical model in a continuous virtual environment. Cycle MAE/MFE and P/L tracking do not suffer direct interference if the broker closes an order externally, keeping the model pure and stable.
• Individual On-Chart Real-Time Control: Instantly enable or disable mirroring to the real account via the dashboard using the "ON/OFF" button. The EA has state persistence (memorizes settings via Global Variables), allowing you to evaluate the model in simulated mode before exposing real capital.
• Target Scope (Multidimensional): A tactical feature allowing you to choose whether hitting a Take Profit or Stop Loss (Global or per Pair) should only close the operation on the real account—keeping the virtual engine active for continuous calculations—or completely reset the statistical cycle.
• Max Spread Money Filter ($): In addition to filtering spreads by points or ticks, this version introduces Max Spread Money. The EA converts the current spread into a financial value corresponding to the minimum lot, blocking the entry if the operational cost invalidates the calculated statistical margin.
• "Quarantine" Mode in Smart Single Leg: The single-leg intelligence has been improved. If the recent history (Rolling Window) indicates that both legs of the pair are misaligned with the mathematical model, the EA enters quarantine mode, suspending real execution until the statistical inefficiency realigns with the Shadow Engine.
• Expanded Analytical Dashboard (6 Tabs): The interface has been expanded for better visualization of quantitative data:
  1. Overview: Macro view of the model's math (Z-Score, Hurst, ADF).
  2. Shadow Legs: Details of the virtual engine (Volume, Price, and simulated P/L).
  3. Telemetry $: Deep analysis of financial MAE/MFE.
  4. Telemetry %: Efficiency of each leg and the pair in percentage.
  5. Real vs Shadow: Statistical comparison between real and simulated performance.
  6. Real Results: Structured report of temporal performance (Daily, Weekly, Monthly) and the account's mathematical expectancy.

Highlights and Main Features

• Advanced Mathematical Models: Choose between the Logarithmic OLS (Ordinary Least Squares) or Ratio model with Bollinger Bands to calculate the Z-Score and pair dispersion accurately.
• Advanced Quantitative Filters: Native integration with the Augmented Dickey-Fuller (ADF) Test to validate stationarity and the Hurst Exponent to confirm the market regime, mitigating false breakouts. It also includes Volatility (ATR), Exhaustion (RSI on the spread), and Kurtosis filters to evaluate tail distortions.
• Dynamic Risk Management: Structured capital protection with Stop Loss by financial value, balance percentage, or Z-Score limit. Features Auto-Yield to adapt to distortion variations, volatility-based lot management, automatic time-based closing (Day Trade), and global daily gain/loss targets.
• Position Sizing and Auto-Hedge: Configurable balancing in Cash Neutral or Beta Neutral. It has an automatic lot adjustment system to mitigate order rounding errors imposed by brokers (Tick Size / Lot Step), aiming for proper hedge equilibrium.
• Controlled Grid and Scaling In: Support for controlled reentry levels per pair, with progressive Z-Score triggers, protected by a Minimum Grid Distance filter to avoid unnecessary order accumulation.
• Automatic Rollover and State Recovery: Futures contract rollover system for operational optimization. The state of virtual legs, panels, and operational parameters are optimally saved in local binary files. The EA instantly recovers its information after VPS restarts or terminal closures.

Usage Recommendations and Markets

• Asset Universality: The statistical arbitrage logic can be applied to assets with liquidity and demonstrable cointegration:
  • National Markets: Stocks, REITs, and Futures Contracts (with automated rollover support).
  • Forex & Cryptoassets: Major currency pairs and highly liquid digital assets.
  • Global Indices: Major world indices (USA30, USA500, DE40, etc.).
• Simulated Environment Validation (Incubator): Use the "Shadow Legs" tab to evaluate large portfolios directly in the terminal with real mirroring disabled. Study the statistical behavior and activate real execution only on pairs that demonstrate technical adherence and simulated consistency in the observed period.
• Timeframe: Flexible and adaptable to different timeframes, according to the prior cointegration study performed by the user.