SOL/ETH Ratio Z-Score Mean-Reversion Long-SOL with 200-SMA SOL Safety Filter

A long-only MULTI-INSTRUMENT CROSS-ASSET MEAN-REVERSION strategy that trades SOLUSDT perpetual futures on Binance based on the SOL/ETH PRICE RATIO reaching statistical extremes. This is the SECOND multi-instrument strategy in the portfolio (companion to EthBtcRatioDailyEmaTrendLongEth) and provides the COMPLEMENTARY mechanism within the cross-asset class: ETH/BTC Ratio Trend captures slow multi-month alt-rotation regime shifts (trend-following); this SOL/ETH Z-Score Mean-Reversion captures FAST short-term statistical dislocations (contrarian). The two are mechanistically orthogonal: trend on slow ratio, mean-reversion on fast ratio. Together they cover both directions of cross-asset signal exploitation. The trigger: compute SOL/ETH ratio daily, then compute the 90-day rolling mean and std-dev of the ratio. When current ratio drops to -2σ or lower (SOL has UNDERPERFORMED ETH dramatically over the recent rolling window — a statistical extreme), enter long SOL expecting reversion to the mean. Exit when ratio returns to its 90-day mean OR stop or safety filter breaks. The mechanism is grounded in documented pairs-trading research (Gatev/Goetzmann/Rouwenhorst 'Pairs Trading' RFS 2006, Vidyamurthy 'Pairs Trading' 2004) applied to crypto's high-correlation altcoin pairs. SOL/ETH is chosen as the pair because (a) both are highly liquid top-5 crypto assets, (b) they have ~0.80-0.85 correlation but distinct cycle drivers — SOL has higher beta and more retail flow, ETH has institutional/staking flows — creating regular statistical dislocations, (c) SOL's higher volatility produces more frequent -2σ extremes than less-volatile pairs, improving trade density, (d) the SOL/ETH ratio has well-documented mean-reverting behavior over 30-90 day windows historically. SOL is the LONG-side instrument (since we believe SOL will catch up to ETH); ETH is read-only for ratio computation via extra_instruments. SOL safety filter (200-SMA on SOL itself) prevents going long SOL in its own structural bear regime, even if the SOL/ETH ratio is at extreme. Only 4 explicit parameters (lookback window, z-score threshold, safety SMA period, stop-loss pct) — minimum-parameter pairs-trading strategy.