Market neutral · Pairs spread reversion
Crypto Pairs (5) Pair Spread z2 · 1D
Pairs spread reversion on BTC/USD, ETH/USD, SOL/USD, XRP/USD, ADA/USD CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−4.4%Backtest
Max drawdown−22.2%Volatility 4.3%
Sharpe-1.03Trades 159
Since go-live—awaiting first trade
Backtest on real market data
Annual return−4.4%
Max drawdown−22.2%
Sharpe-1.03
Trades159
Winning trades48%
Time in market90%
Backtest on real historical prices from Jun 13, 2021 to Oct 3, 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 8% annualised volatility (risk level 2/5), 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0 | 0.3 | -1.3 | -0.1 | 0.2 | -0.5 | -0.4 | -1.7% | |||||
| 2022 | 0.2 | -0.7 | -0.2 | 0.3 | -0.3 | -0.3 | 0.2 | 0.4 | -0.7 | 0.1 | -0.2 | -0.5 | -1.7% |
| 2023 | 0.4 | 0.3 | 0.1 | 0.6 | 0.1 | -0.4 | 0.6 | -0.0 | -0.1 | -2.1 | -3.4 | -8.8 | -12.3% |
| 2024 | 1.8 | -0.5 | -0.7 | 0.0 | 0.1 | -0.1 | 0.2 | 0.2 | -0.1 | -0.9 | -5.0 | 0.6 | -4.5% |
| 2025 | -0.7 | -0.4 | 0.6 | -0.5 | 0.1 | 0.0 | -0.2 | -1.3 | 0.1 | 0.0 | -0.6 | -0.1 | -2.8% |
| 2026 | 0.6 | -0.1 | -0.4 | 0.1 | 0.5 | -1.0 | 0.2 | 0.7 | -0.7 | 0.1 | 0.1% |