Hypotheses
ETH/BTC Ratio Mean Reversion (Z-Score)
Mid-term mean reversion strategy on the ETH/BTC ratio traded as a synthetic pair on Binance USD-M Futures. On 4h bars, compute ratio = ETHUSDT_close / BTCUSDT_close, then a 20-period rolling z-score. Entry: z > +2.0 →…
Hypothesis
Mid-term mean reversion strategy on the ETH/BTC ratio traded as a synthetic pair on Binance USD-M Futures. On 4h bars, compute ratio = ETHUSDT_close / BTCUSDT_close, then a 20-period rolling z-score. Entry: z > +2.0 → SHORT ETHUSDT + LONG BTCUSDT (equal USD notional per leg); z < -2.0 → LONG ETHUSDT + SHORT BTCUSDT. Exit: |z| < 0.5 (mean reversion target), |z| > 3.5 (regime-break stop), or 7-day time stop. Uses extra_instruments=['BTCUSDT-PERP.BINANCE'] so on_extra_bar() caches the latest BTC close for ratio computation on every ETH bar. Position sizing relative to account equity with 1-2x leverage. Edge: cointegration-style mean reversion in the most liquid crypto pair. Risks: alt-season trend regimes break the mean, funding-rate divergence between legs erodes PnL, double-fee drag (~0.20% round-trip total) requires avg trade return > 0.30% to be viable.
Backtest and paper results are hypothetical. Trading involves risk of loss.