Hypotheses
Myquant StatArb: faithful specification of an unsupported CFFEX calendar-spread demo
StatArb by Myquant is trading code, not a utility. However, a faithful executable hypothesis cannot be instantiated on this platform: its signal handler hardcodes IF1703 and IF1704, historical CFFEX contracts, while…
Hypothesis
StatArb by Myquant is trading code, not a utility. However, a faithful executable hypothesis cannot be instantiated on this platform: its signal handler hardcodes IF1703 and IF1704, historical CFFEX contracts, while CFFEX instruments, data and fees are absent from the supplied platform infrastructure. Replacing them with crypto perpetuals would change the economic mechanism. Preserve the specification below as a source audit; do not send it to coding as a viable strategy. Source: https://github.com/myquant/strategy/blob/17595e6bf4a118e1fa87c90bfb0fd78afa69a60b/Arbitrage/python/strategy_sa.py. Licence reported in the brief: Apache-2.0.
Analysis
StatArb
Backtest and paper results are hypothetical. Trading involves risk of loss.