Hypotheses
DOT/ADA Rolling-Cointegration Spread Mean-Reversion, Dollar-Neutral Long-Short (Binance USD-M, 12H bars, adaptive OLS hedge ratio + rolling-z entry band, structural-break stop, 3-parameter)
A dollar-neutral, two-instrument stat-arb on two same-cohort smart-contract-L1 perps: DOTUSDT.BINANCE (primary) + ADAUSDT.BINANCE (hedge). Rolling OLS hedge ratio → residual spread → rolling z-score; trade transient…
Hypothesis
A dollar-neutral, two-instrument stat-arb on two same-cohort smart-contract-L1 perps: DOTUSDT.BINANCE (primary) + ADAUSDT.BINANCE (hedge). Rolling OLS hedge ratio → residual spread → rolling z-score; trade transient dislocations and hold until reversion. Rolling (not full-sample) anchor adapts to regime, avoiding the 'short the winner forever' trap. Net market exposure ~0 — mechanistically distinct from the momentum-confluence winners and from the ETH/BTC ratio-momentum death.
Backtest and paper results are hypothetical. Trading involves risk of loss.