pair trading backtester logic is wrong

[PercyARS]

your PnL calculation for the exit scenario is wrong

        elif abs(zscore[i]) < 0.5:
            money += countS1*S1[i] - S2[i] * countS2
            count = 0

not sure what you are resetting count for since it was never used in the code. and why is countS2 making a negative impact to PnL? if you fix these two issues, the strategy is not profitable at all.

[chandinijain]

@PercyARS this is now fixed, thanks for pointing it out