A Bollinger Band Strategy for Cryptocurrency Futures Calendar Spreads

Summary

This tutorial outlines a mean-reversion approach to calendar spreads in ETC futures. It defines the spread as the weekly contract price minus the quarterly contract price, samples it on a five-minute cycle, and pairs the contracts in a one-to-one ratio. The strategy opens a long spread when the spread falls below the lower Bollinger Band, or a short spread when it rises above the upper band. It closes positions when the spread returns through the middle band. The text also describes a program structure for collecting prices and positions, calculating bands, placing paired orders, canceling unfilled orders, and handling situations where only one leg fills.

The example omits cointegration testing and is explicitly presented as a simple demonstration, not a complete live-trading design. It supplies no backtest or performance data. The author warns that crypto futures collateral held in crypto can lose value in fiat terms even when a strategy earns more coins, and says simple spread arbitrage may therefore be unattractive in the market conditions discussed.

Key ideas

• The example trades the price difference between weekly and quarterly ETC futures contracts.
• It opens spread positions when the difference crosses the outer Bollinger Bands and exits near the middle band.
• The two legs use equal sizing, and the tutorial addresses unfilled orders and single-leg exposure.
• The example omits a cointegration check and does not provide backtest evidence.
• Crypto-denominated collateral can fall in fiat value even if the strategy accumulates more coins.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.