Multi-Timeframe Bitcoin Futures–Spot Spread Z-Score Strategy

Summary

The strategy constructs a Bitcoin futures-versus-spot spread from weighted prices across Binance and OKX, then standardizes that spread with a rolling mean and standard deviation to obtain a Z-score. It evaluates the signal across three configurable timeframes, initially set to 60, 120, and 180 minutes, and exposes thresholds for long and short entries. Other controls include trading direction, a long-term moving-average period, a holding-period option, and optional percentage take-profit and stop-loss rules.

The excerpt describes the data sources, weighting approach, and initial strategy settings, including commission, slippage, and position sizing assumptions. It is truncated before showing the composite signal conditions and the full order and exit logic, so those details cannot be assessed. No backtest results or evidence of profitability are included. The method depends on suitable synchronized futures and spot data; differences in contract or symbol definitions, exchange pricing, and execution costs may affect the spread and its Z-score. The stated thresholds and controls describe configuration choices, not validated optimal settings.

Key ideas

• The strategy measures the price difference between weighted Bitcoin futures and spot prices across two exchanges.
• It standardizes the spread using a rolling mean and standard deviation to form a Z-score.
• Signals are intended to combine readings from three timeframes with configurable entry thresholds.
• The script provides optional holding-period, stop-loss, and take-profit controls.
• The excerpt omits the complete signal logic and reports no performance results.

Tags

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