After live simulating over 5,500 statistical arbitrage trades in crypto, I was actually shocked by how effective the results were. We compared Dynamic, OU and static spreads in trading the raw spread but also the rolling ZScore. We also reviewed Copulas. All showed profit and most a constant increase in portfolio returns. HOWEVER, note that real execution would show nowhere near this kind of success due to the reality of getting great pricing in real markets. Regardless, there are clear features which lend towards predicting successful trades, which we uncover with XGBOOST and SHAP. Do not miss this one.
Statistical Arbitrage in 12 Mins: https://youtu.be/-Fr-Nz-uO2U
180,000 Backtests: https://youtu.be/hJam2VHK3-A
Website: https://cryptowizards.net
