A Hedged Futures Strategy for Moving Assets Between Exchanges

Summary

This document sketches a way to shift crypto assets between exchange accounts using opposing positions in futures contracts. The example monitors order book depth at two venues, opens a short at one and a long at the other when the price spread widens, and adds another matched position if the spread expands by a specified increment. It closes both sides when the first venue’s position reaches a small loss threshold, then resets the spread reference and repeats. The intended effect is for losses on one side to be offset approximately by gains on the other.

The article provides a demo strategy and describes a historical backtest setup, but it presents the idea as exploratory rather than ready for live use. Spread differences can make the hedge lose more than the losing leg’s offsetting gain. Contract denomination, contract multipliers, position sizing, fees, liquidity, and execution would need careful treatment. Its close condition monitors one venue’s reported profit, so the example also leaves implementation and operational details unresolved.

Key ideas

• The example opens opposing futures positions across two exchanges when their order book spread exceeds a threshold.
• It adds matched positions when the spread widens further by a configured increment.
• The strategy closes both sides when the monitored position reaches a loss threshold.
• The intended asset transfer relies on offsetting gains and losses, but spread differences can create a net loss.
• Contract denomination, contract multipliers, and other live-trading details require further design.

Tags

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