Bollinger Bands for Cross-Expiry Crypto Futures Spread Trading

Summary

This article outlines a relative-value strategy that trades two futures contracts on the same cryptocurrency with different expiries. It treats their price difference as a spread that may revert toward its recent range. The example uses weekly and quarterly ETC contracts: when the spread moves beyond a Bollinger Band, the strategy opens offsetting positions in the two expiries; it closes when the spread returns across the middle band.

The implementation framework gathers account, position, and order-book data, constructs a spread series, calculates Bollinger Bands, and places and manages paired orders. The article also describes practical elements such as checking positions, canceling orders, and accounting for individual contract holdings. It presents this as a simplified educational example rather than a finished trading system. The author cautions that futures-futures arbitrage may not be worthwhile in the crypto market, particularly because collateral is held in volatile digital assets whose value can fall. The document provides no performance test establishing profitability, and its sample spread behavior should not be assumed to persist.

Key ideas

• The strategy trades the spread between two futures expiries rather than taking a direct view on the underlying asset.
• It opens paired positions when the spread crosses an outer Bollinger Band and closes near the middle band.
• The framework combines spread construction, indicator calculation, position checks, order placement, and order cancellation.
• Paired futures positions can still carry collateral and execution risks.
• The example is educational, and the article questions the viability of crypto futures arbitrage without presenting validating performance evidence.

Tags

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