Market neutral · Pairs spread reversion
Crypto Pairs (5) Pair Spread z2 · 1D II
Pairs spread reversion on BTC/USD, LINK/USD, DOT/USD, AVAX/USD, POL/USD CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+3.0%Backtest
Max drawdown−3.4%Volatility 4.4%
Sharpe0.70Trades 59
Since go-live—awaiting first trade
Backtest on real market data
Annual return+3.0%
Max drawdown−3.4%
Sharpe0.70
Trades59
Winning trades53%
Time in market84%
Backtest on real historical prices from Nov 12, 2024 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 18% annualised volatility (risk level 4/5), 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 | -0.1 | 1.0 | 0.9% | ||||||||||
| 2025 | 0.0 | -0.8 | -1.0 | 0.2 | 1.1 | -0.5 | 1.1 | -2.1 | -0.1 | 0.7 | -0.1 | -0.7 | -2.2% |
| 2026 | 2.1 | 0.6 | 0.5 | 0.9 | 1.3 | -0.8 | 1.1 | 0.8 | 0.4 | 0.2 | 7.3% |