Pairs Trading

BTC-ETH Statistical Arbitrage

Exploits mean-reverting spread between BTC and ETH using Z-score entry/exit. Includes cointegration (ADF) and halflife filters to ensure valid trading regime. Positions reverse when spread crosses entry thresholds.

Strategy Configuration

Data Period (days)

Spread Window

Entry Z-Score

Exit Z-Score

Stop Z-Score

Cointegration Filter

Halflife Filter

Max Hold (bars)