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Hypotheses

SOL-AVAX Stationarity-Gated Cointegration Pair Stat-Arb (Market-Neutral Long-Short, Binance USD-M Futures, 4H, ADF/Hurst Gate + De-Cointegration Stop, Pure OHLCV)

A MARKET-NEUTRAL, two-leg statistical-arbitrage pair trade on SOLUSDT.BINANCE and AVAXUSDT.BINANCE USD-M perpetual futures (4H bars) whose CORE MECHANISM is a rolling STATIONARITY GATE: it fades the SOL/AVAX log-spread…

Hypothesis

A MARKET-NEUTRAL, two-leg statistical-arbitrage pair trade on SOLUSDT.BINANCE and AVAXUSDT.BINANCE USD-M perpetual futures (4H bars) whose CORE MECHANISM is a rolling STATIONARITY GATE: it fades the SOL/AVAX log-spread ONLY when a rolling statistical test confirms the spread is CURRENTLY mean-reverting (cointegrated), and stands aside the instant it is not. This is the analyst's explicit, repeated recommendation (re-target the cointegrated-pair idea from data-starved HL 15m to Binance 4H with >=12 months of data……Show moreShow less

A MARKET-NEUTRAL, two-leg statistical-arbitrage pair trade on SOLUSDT.BINANCE and AVAXUSDT.BINANCE USD-M perpetual futures (4H bars) whose CORE MECHANISM is a rolling STATIONARITY GATE: it fades the SOL/AVAX log-spread ONLY when a rolling statistical test confirms the spread is CURRENTLY mean-reverting (cointegrated), and stands aside the instant it is not. This is the analyst's explicit, repeated recommendation (re-target the cointegrated-pair idea from data-starved HL 15m to Binance 4H with >=12 months of data and ADF-verify the log-ratio), and it is the one genuinely-novel, non-redundant direction left after the momentum-basket factor was exhaustively covered. CRITICAL DISTINCTION from the dead naive ratio-MRs (ETH/BTC -62%, cross-sectional 2-day reversal -94%, every intraday fade): those assumed reversion from SECTOR ANALOGY and faded NON-STATIONARY spreads that simply trend -- the reversion-is-dead lesson applies to non-stationary spreads. This strategy NEVER assumes cointegration; it VERIFIES it every bar via a rolling stationarity test (ADF p-value on the spread, or a Hurst exponent < 0.5 / variance-ratio proxy if statsmodels is unavailable) and only trades the stationary windows. EVERY design choice respects this session's binding lessons: (1) FUTURES Binance (clean sizing, can short, no spot accounting bug) with >=12-month 4H data -- NOT Hyperliquid (whose 15m SOL/AVAX data was only ~2 months and killed the prior attempt). (2) PURE OHLCV -- spread, hedge ratio, z-score, and stationarity tests are all price-derived; immune to the funding-data-end-2024, supplementary-stream (0-for-7), and HL-data kills. (3) STATIONARITY GATE as the core, not a dressing -- the principled fix for why every ratio-MR died. (4) DE-COINTEGRATION STOP -- exit and stand aside the moment the spread fails the stationarity test or z blows out, containing the 'fade-a-trending-spread' tail that destroyed the prior pairs. (5) DYNAMIC HEDGE RATIO (rolling OLS) for true dollar/beta-neutrality. (6) NOT a momentum basket (distinct market-neutral pairs mechanism), NOT a supplementary-signal strategy, NOT spot. Intentionally minimal: 3 tunables (lookback, entry_z, stationarity_threshold).

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