Hypotheses
Howtrader PCP Arbitrage — Frozen Three-Leg ETH Parity-Spread Port
Faithful signal and order-target translation of PcpArbitrageStrategy by 用Python的交易员, MIT licensed, at commit fcad8e2d86825506b9d33441ab78be853c2c3bdd. Preserve entry_level=20, price_add=5 and fixed_size=1 exactly. Use…
Hypothesis
Faithful signal and order-target translation of PcpArbitrageStrategy by 用Python的交易员, MIT licensed, at commit fcad8e2d86825506b9d33441ab78be853c2c3bdd. Preserve entry_level=20, price_add=5 and fixed_size=1 exactly. Use one-minute last-trade bars for a same-strike, same-expiry Binance call/put pair and a Bybit linear ETH perpetual. The perpetual replaces the source's unspecified futures contract; consequently this tests synthetic-forward versus perpetual spread convergence, not a maturity-matched, risk-free parity arbitrage. All three prices are USDT per ETH. Adapt only symbol parsing, contract multipliers and equity-relative sizing. The two option instruments exist in the local catalog; Bybit bars may be collected on demand. Preserve limit orders, persistent targets and futures-position-based branching; do not add indicators, entry filters, stops or signal-reversal rules. Source performance is unverified.
Analysis
PcpArbitrageStrategy
Backtest and paper results are hypothetical. Trading involves risk of loss.