Pairs Trader
DECIDE • Engle-Granger 1987 cointegration test + spread Z-score + BOCPD changepoint detection. Per Gatev-Goetzmann-Rouwenhorst 2006: market-neutral pairs alpha. Per N8: cointegration on HISTORICAL window does NOT guarantee future-window cointegration. NOT advice.
Per Pre-Launch Validation T0 + Brier-Track Continuity T0: this surface composes-with Wave-19 Engle-Granger substrate (engine/engle-granger-cointegration.js) + Wave-9 β-divergence BOCPD (engine/bocpd-beta-divergence.js) + Wave-13 Künsch MBB bootstrap. All math substrates closed-form-verified via vitest reference values but [ARCHITECTURAL-pending-Brier-N≥30-paired-cohort-validation] until live pairs accumulate realized PnL.