Pair trade for crypto with inputs: * length of correlation and moving average * trade pair * spread threshold to enter long / short * spread threshold to exit long / short
I've tried it with many pairs, but what you call "spread" does not seem to be an accurate representation of the ratio between symbols. When I use "entry spread" signals to short one symbol and long the other (paper trading), I consistently have losses. Am I missing something?
danilogalisteu
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@gi9opx, spread is not the ratio, it is the difference between the last value and the log/log fitted value.
As you can see on the plot, the ratio doesn't stay inside of a limited range (around zero), but the spread does. That's why you trade based on the spread, not on the ratio.
wa1one
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@gi9opx, he uses log function in spread calc. I think there must be some logic in qts to represent hedge ratio.
@wa1one, feel free to post the "correct" information for the community to benefit from :) Have a great day!
wa1one
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@JoshuaMcGowan, same to you… OK I figured it’s not technically possible to implement a strategy and calculate net profit with multiple securities. So I’m sorry I thought it’s possible.