策略 04已关闭

Spread Trading — Calendar / Basis / Cross-Asset

trade perp-vs-quarterly spreads, the basis premium, and cointegrated pairs

策略正文暂以英文显示，中文翻译进行中。

关键指标：

MMs hold the spread <1 bps; no pair is stably cointegrated

为何存在优势 / 假设: Classic statistical arbitrage of spreads (the de Prado spread approach).
构造: Calendar (perp vs quarterly), dynamic basis, cross-asset cointegration.
测试数据: Multi-exchange, 12 months.
结果: Calendar: funding=basis, quarterly liquidity ~0.1% of perps. Dynamic basis: MMs hold <1 bps. Cross-asset: BTC/ETH cointegrated only 33% of windows.
验证: All 4 types negative/untradable.
根因: The perpetual-funding mechanism makes the de Prado spread approach inapplicable to crypto; quarterly contracts are illiquid.
结论: Dead (all 4 types). Basis is conditional under sustained contango.
来源: archive/SPREAD_TRADING_RESEARCH.md

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