Manual Screening for Spot Triangular Arbitrage After Costs

Summary

This indicator screens two directions of a three-asset conversion cycle, using BTC, ETH, and a stablecoin as its example. It estimates gross returns from the prices of three trading pairs, then compares each route with an assumed transaction-cost allowance that combines maker and taker fees across three trades and a slippage buffer. Routes exceeding that allowance are marked, with an estimated net return displayed and alerts generated.

The method is a manual screening aid rather than an execution system. It uses chart close prices and simplified cost assumptions, so the apparent return may not survive bid-ask spreads, order-book depth, partial fills, changing fees, or the time needed to complete all three legs. The document gives no historical test or realized trading evidence. Its usefulness depends on verifying that the pair quotes and conversion directions match the actual exchange markets and incorporating realistic execution costs before acting.

Key ideas

• The indicator evaluates both directions of a three-pair conversion cycle.
• It estimates route profitability from quoted prices and subtracts a configurable fee and slippage allowance.
• A route is flagged when its estimated gross return exceeds the assumed costs.
• Close-price calculations do not capture order-book depth, fill risk, or execution delay.
• The document reports no backtest or realized arbitrage results.

Tags

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