Bollinger Band Mean Reversion for Crypto Futures Calendar Spreads

Summary

This tutorial outlines an automated calendar spread strategy for ETC futures on OKEx. It compares weekly and quarterly contracts, calculates their spread, and uses Bollinger Bands to identify possible entries and exits. When the spread falls below the lower band, the example opens a long weekly and short quarterly position; above the upper band, it opens the reverse. It closes either position pair when the spread crosses back through the middle band. The article also describes a program structure for collecting prices and positions, placing and cancelling orders, handling single leg exposure, and displaying indicators.

The example uses a five minute trading period and matches the two contract positions one to one. It explains the approach as a demonstration, not as a proven profitable system: it supplies no performance tests or measured results. The author cautions that crypto futures margins are held in cryptocurrency, so a strategy can gain coins while losing value as the coin price falls. Exchange limits, execution delays, and the risk of a partially filled hedge also matter in practice.

Key ideas

• A calendar spread strategy trades two maturities of the same crypto futures contract.
• Bollinger Bands on the spread define entry thresholds, while the middle band signals exits.
• The example pairs weekly and quarterly ETC futures in equal positions.
• Order automation and single leg handling are important parts of the strategy framework.
• The author warns that gains measured in crypto can lose fiat value when the underlying coin declines.

Tags

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