PAXG-XAUT Statistical Arbitrage with Rolling Spread Bands

Summary

This framework trades the relative price of the PAXG and XAUT gold-linked tokens. It expresses their difference as a percentage, then estimates a rolling mean and standard deviation from minute closes. A spread beyond two standard deviations prompts a market-neutral pair position: short the relatively expensive token and buy the other, or vice versa. The target is the mean recorded when the position opens, and the pair is closed when the spread returns to that level.

The execution design opens the two legs sequentially, waits for fills, and attempts to close the first leg if the second order fails. It also includes order timeouts, minimum-volatility and sample-count filters, status displays, and manual commands. The published configuration covers a short period of one-minute BTC-denominated? Actually exchange setup lists XAUT_USDT futures, while the strategy trades PAXG_USDT and XAUT_USDT swap contracts. No outcome or performance evidence is reported. The description does not establish that the spread is stationary, and sequential execution, basis differences, fees, and slippage can undermine apparent convergence opportunities.

Key ideas

• The strategy measures the percentage price spread between PAXG and XAUT and tracks its rolling mean and standard deviation.
• A spread beyond the two-standard-deviation bands triggers opposing positions in the two tokens.
• The exit target is the spread mean recorded at entry.
• Sequential order handling attempts to limit unhedged exposure when one leg fails.
• Low volatility and insufficient samples suppress entries, but no backtest performance or evidence of stable mean reversion is provided.

Tags

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