Bitcoin Perpetual–Quarterly Spread Mean-Reversion Strategy
Summary
This strategy trades the price difference between Bitcoin perpetual and quarterly futures on a one-minute cycle. It treats the perpetual price minus the quarterly price as a spread and assumes the spread tends to return toward a long-term level. The document explicitly says it omits a cointegration test, so that assumption is not established by supporting analysis here.
When flat, it buys the perpetual and sells the quarterly contract if the spread falls sufficiently below its reference level; it takes the opposite positions when the spread rises above that level. It closes each pair when the spread crosses back toward the reference. The example illustrates this logic, and the accompanying code polls prices and positions before submitting paired limit orders. No backtest, transaction-cost analysis, or performance results are provided. Contract sizing, fills on both legs, funding, and execution risk could all affect outcomes; the code excerpt also does not demonstrate safeguards for incomplete or mismatched fills.
Key ideas
- The strategy defines its spread as the Bitcoin perpetual price minus the quarterly futures price.
- It opens opposite positions in the two contracts when the spread moves beyond a threshold around a long-term reference.
- It exits the pair when the spread returns toward that reference level.
- The document assumes mean reversion but omits a cointegration test and provides no performance evidence.
- Paired execution, contract sizing, funding, and partial fills are practical risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.