Bitcoin Futures–Spot Spread Z-Scores Across Three Timeframes

Summary

This strategy measures the difference between weighted Bitcoin futures and spot prices from Binance and OKX, then standardizes that spread as a rolling z-score. It calculates the measure on three configurable timeframes, with example defaults of 60, 120, and 180 minutes. A long or short signal occurs when all three z-scores cross their respective thresholds in the same direction. The strategy can trade either or both directions and can close positions after a holding period or by optional percentage-based profit and loss exits.

The author frames the spread as a sentiment measure that may be useful in particular market conditions, while cautioning that it is not a dependable predictor of broader trends. The description presents the script as educational and says further research is needed; it does not provide numerical backtest results in the supplied text. The approach also depends on the selected exchange symbols, weighting, timeframe, and threshold settings, so its behavior may change with data availability and market conditions.

Key ideas

• The spread is a weighted futures price average minus a weighted spot price average across two exchanges.
• Rolling means and standard deviations convert the spread into a z-score on each timeframe.
• Entries require all three timeframe z-scores to exceed a threshold in the same direction.
• Optional holding periods and profit or loss exits manage open positions.
• The author presents the spread as a conditional sentiment indicator, not a reliable trend predictor.

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