Hypotheses
SOL cross-venue perpetual residual convergence
Adapt the source's correlation and cointegration screen to SOLUSDT.BYBIT and SOLUSDT.OKX on synchronized 1-hour bars. Fit a 90-day rolling residual model using completed bars and refresh it monthly. Trade only when…
Hypothesis
Adapt the source's correlation and cointegration screen to SOLUSDT.BYBIT and SOLUSDT.OKX on synchronized 1-hour bars. Fit a 90-day rolling residual model using completed bars and refresh it monthly. Trade only when correlation is at least 0.98 and the residual ADF statistic is below -3.34. Match SOL exposure across the long and short legs; cap combined gross exposure at 20% of equity.
Analysis
Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach
Backtest and paper results are hypothetical. Trading involves risk of loss.