Track 04Closed
Spread Trading — Calendar / Basis / Cross-Asset
trade perp-vs-quarterly spreads, the basis premium, and cointegrated pairs
Key metric
MMs hold the spread <1 bps; no pair is stably cointegrated
- Why an edge should exist / hypothesis
- Classic statistical arbitrage of spreads (the de Prado spread approach).
- Construction
- Calendar (perp vs quarterly), dynamic basis, cross-asset cointegration.
- Test data
- Multi-exchange, 12 months.
- Results
- Calendar: funding=basis, quarterly liquidity ~0.1% of perps. Dynamic basis: MMs hold <1 bps. Cross-asset: BTC/ETH cointegrated only 33% of windows.
- Validation
- All 4 types negative/untradable.
- Root cause
- The perpetual-funding mechanism makes the de Prado spread approach inapplicable to crypto; quarterly contracts are illiquid.
- Verdict
- Dead (all 4 types). Basis is conditional under sustained contango.
- Source
archive/SPREAD_TRADING_RESEARCH.md
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