Binance Delivery Futures Butterfly Spread Mean-Reversion Grid
Summary
This strategy trades a three-contract spread across a perpetual, current-quarter, and next-quarter Binance coin-margined futures contract. It defines the butterfly spread as next-quarter plus perpetual minus twice the current-quarter price. Long exposure to that spread buys one unit each of the next-quarter and perpetual contracts and sells two units of the current-quarter contract; short exposure reverses those legs.
The strategy tracks a smoothed average of the spread and uses grid spacing to scale target positions as the spread moves away from that average. It submits immediate-or-cancel limit orders, with an optional iceberg order size intended to reduce unmatched-leg exposure. The author says it cannot be backtested in the provided implementation, and no performance evidence is reported.
Execution and contract lifecycle create substantial caveats: fills can leave unhedged legs, grid spacing must cover fees, and the strategy needs monitoring near quarterly expiry as contract relationships change. It also relies on cross margin and one-way position mode, and the spread average begins accumulating only after startup.
Key ideas
- The butterfly spread is defined as next-quarter plus perpetual minus twice the current-quarter contract.
- A grid around a smoothed spread average determines target position size as the spread deviates.
- A long spread position uses one next-quarter and one perpetual contract against two current-quarter contracts.
- Immediate-or-cancel orders and optional iceberg sizing are used, but partial fills can still create unmatched legs.
- The implementation cannot be backtested as provided, and expiry, fees, margin mode, and startup averaging require attention.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.