Bollinger Band Mean Reversion for Crypto Futures Calendar Spreads

Summary

The document describes a same-asset calendar spread strategy using ETC futures with different expiries. It defines the spread from the bid and ask prices of weekly and quarterly contracts, then applies Bollinger Bands to the spread series. A move below the lower band opens a long spread by buying the near contract and selling the deferred one; a move above the upper band opens the reverse position. Positions are closed as the spread returns toward the middle band.

The implementation outline covers data collection, position checks, indicator calculation, order placement, cancellations, charting, and handling an unpaired leg by closing positions. It illustrates a quantized, automated approach, but provides no backtest or performance evidence. The text says the example omits a cointegration test and cautions that crypto futures collateral is held in crypto, so gains measured in coins may lose value in fiat terms as the asset price falls. The code is presented as a teaching example, and its simplified execution and risk handling limit conclusions about live suitability.

Key ideas

• The strategy treats the price difference between two expiries of the same crypto futures contract as a mean-reverting spread.
• Bollinger Bands on the spread provide entry thresholds, while a return toward the middle band triggers exits.
• The example uses equal contract quantities and attempts to close positions when only one leg is held.
• The author omits cointegration testing and warns that crypto-denominated collateral exposes returns to the underlying coin price.
• The document provides an implementation sketch rather than evidence of tested profitability.

Tags

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