Adaptive Regularized Moving Average Crossovers and Cross-Market Arbitrage Claims

Summary

The document proposes smoothing a transformed price series with an adaptive regularized moving average, then using crossings between that signal and price to switch between long and short positions. It describes a five-day window, adaptive weighting, and a regularization term intended to smooth changes. Adjustable smoothing and data-source inputs are also listed. Published test settings specify BTC/USDT futures on hourly bars over October 2023, but no returns, trade statistics, or comparison results are provided.

Although the description frames the approach as cross-market arbitrage, the supplied strategy logic uses a single price series and does not show paired instruments, spread construction, or simultaneous market execution. The arbitrage claim is therefore unsupported by the implementation shown. The document itself flags crossover whipsaws, the need to choose related markets, and the need for historical testing; it also suggests stops and additional filters. The method should be understood as a price-versus-smoothed-signal crossover unless a separate cross-market mechanism is specified.

Key ideas

• The proposed signal smooths a transformed price series with a regularized moving average.
• Crossings between the signal and price are used to switch between long and short positions.
• The listed BTC/USDT test settings contain no reported performance results.
• The supplied logic uses one price series and does not implement a cross-market spread trade.
• Crossover whipsaws and parameter selection are identified as practical limitations.

Tags

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