Hypotheses

Howtrader PairTradingStrategy by 用Python的交易员 — Frozen LTC/BCH Bybit Translation

Hypothesis

Faithful reproduction of the supplied MIT-licensed PairTradingStrategy by 用Python的交易员, commit fcad8e2d86825506b9d33441ab78be853c2c3bdd. Platform mapping: LTCUSDT.BYBIT is leg 1 and BCHUSDT.BYBIT is leg 2, both linear perpetuals in a NETTING MARGIN account with $100,000 initial equity and configured leverage 1.0. Preserve price_add=5, boll_window=20, boll_dev=2, fixed_size=1, leg1_ratio=1 and leg2_ratio=1. Crucially, fixed_size is never used: target positions are literally signed one-unit quantities, not capital-relative allocations. Ratios affect the spread only, never order quantities. This is a source-reproduction experiment, not a claim of a fee-viable edge. Do not add hedge estimation, normalized prices, filters, stops, adaptive sizing or optimization.

Analysis

PairTradingStrategy

Backtest and paper results are hypothetical. Trading involves risk of loss.

Strategies

Hypothesis

Analysis