Research Articles

ADF rejects on 1 of 12 spreads against 0.60 expected false positives, and 0 of 12 after Holm. The median half-life is 11,326 bars. A half-life-matched reversion rule earns +0.043%/yr gross and breaks even at 0.00 bps per side.

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⏱ 10m 👁 35 ♥ 0

A time-varying hedge ratio was supposed to triple the gross edge on 12 alt/BTC spreads. It reduced spread variance by -24.6% (i.e. raised it) on 11 of 12 pairs, cut gross edge to +2.40%/yr against a 9.36%/yr bar, and broke even at 8.14 bps against the 8.81 bps it pays.

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⏱ 11m 👁 26 ♥ 0