BTC and ETH Relative-Value Monitoring with Ratio Bands and Averages

Summary

This demonstration explores monitoring the relative price of Bitcoin and Ether as a possible cross-asset hedge or arbitrage signal. It computes a fee-adjusted ratio from the two markets’ mid-prices, aggregates observations into hourly values, and plots the series. The selected mode can add either moving averages or Bollinger bands after the series has accumulated enough history. The SMA mode contains a state-based example: it sells Ether and buys Bitcoin when the shorter average crosses above the longer one, then reverses those legs when the averages cross back.

The author explicitly presents feasibility as unknown and invites further study. The code offers a prototype for ratio tracking, but it does not establish that the relationship is stationary or that deviations can be traded profitably. It gives no backtest results, risk controls, or detailed accounting for slippage, market impact, funding, and execution across both venues. The fee adjustment is built into the ratio calculation, but practical hedge sizing and residual exposure still require careful validation.

Key ideas

• The demo tracks a fee-adjusted ratio of Bitcoin and Ether mid-prices.
• It aggregates the ratio into hourly observations and plots moving average or Bollinger reference lines.
• The SMA mode illustrates entering and covering paired BTC and ETH legs when averages cross.
• The document describes the idea as unproven and provides no performance results.
• Trading feasibility depends on execution costs, hedge sizing, and whether the relative-price behavior persists.

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