arbitrage
Statistical Pairs Trading
Statistical Pairs Trading identifies cryptocurrency pairs that historically move together (cointegrated) and trades the spread when it deviates from historical norms. By going long one asset and short another, the strategy remains market-neutral and profits from the mean reversion of the spread.
65%
Win Rate
2.3
Sharpe Ratio
Low
Risk Level
1-7 days
Avg Hold
Strategy Overview
Timeframes1h, 4h, 1d
Ideal MarketAny (market-neutral)
Min Capital$15,000
Avg Hold Time1-7 days
Strategy Parameters
Cointegration Window60 days
Historical period for pair analysis
Z-Score Entry>2.0
Standard deviation threshold for entry
Z-Score Exit<0.5
Target spread for position close
Pair Universe25+ pairs
Number of monitored pairs
Entry Signals
Spread Z-score exceeds entry threshold
Cointegration confirmed (recent period)
Half-life within acceptable range
Correlation remains stable
Advantages
- Market-neutral (hedged)
- Consistent returns profile
- Lower correlation to market
- Statistical edge is quantifiable
Risks to Consider
- Correlation breakdown during stress
- Cointegration can disappear
- Funding costs on short positions
- Requires larger capital base
Related Strategies
Important Risk Information
Past performance does not guarantee future results. All trading strategies involve risk, and you may lose some or all of your invested capital. The win rates and Sharpe ratios shown are based on backtesting from 2015-2024 and may not reflect future performance. Always use proper position sizing and risk management.