Trading strategies are always well-debated topics in market.The pair trading was pioneered by Gerry Bamberger and later led by Nunzio Tartaglia s quantitativegroup at Morgan Stanley in the 1980s.but now it still have high value to study.In our paper,we construct a classical model to describe pair trading and confirm the model with simulation.Finally,we apply this method to real data to see the effective of the method.Further,we discuss the improvement of this method,especially the SLPT strategy.