Statistical arbitrage · Pairs spread reversion
BTC/ETH Pair Spread z2 · 4H
Pairs spread reversion on BTC/USD, ETH/USD CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return−3.5%Backtest
Max drawdown−9.8%Volatility 3.3%
Sharpe-1.09Trades 152
Since go-live—awaiting first trade
Backtest on real market data
Annual return−3.5%
Max drawdown−9.8%
Sharpe-1.09
Trades152
Winning trades52%
Time in market44%
Backtest on real historical prices from Oct 15, 2024 to Oct 4, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Binance)
Methodology
- Trades the log-price spread of the first two instruments. When its 60-bar z-score exceeds +2, short the first and buy the second; below −2 the opposite.
- Both legs are closed when |z| falls below 0.5. The book is close to market-neutral.
- Trades both directions (long and short).
- Position size targets 12% annualised volatility (risk level 3/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.3 | -0.5 | 2.0 | 1.2% | |||||||||
| 2025 | -0.3 | 0.5 | -0.7 | -1.5 | -3.0 | -0.1 | -2.5 | -1.7 | -0.3 | 0.4 | 0.5 | -0.0 | -8.4% |
| 2026 | 0.6 | 0.4 | -0.2 | 0.3 | -0.3 | -0.1 | -0.3 | 0.5 | -0.1 | -0.0 | 0.7% |