Introduction

Statistical arbitrage is one of the most common strategies in the world of quantitative finance. So, I decided to embark on a project last summer to learn about this strategy and eventually apply it in the cryptocurrency market.

The crypto market is highly correlated and highly volatile, which is great for quantitative strategy betting on convergence between two correlating securities. But through fixing bugs in my backtest and learning more about the fundamentals of statistical arbitrage,

I have come to the conclusion that applying this strategy profitably into the cryptocurrency market is not an easy feat. The transaction fee is high at most major crypto exchanges, and the depth of the orderbook makes it impossible to take sizeable order without causing too much slippage. Next I will delve deep into the trading logic, findings, and the future plans.

#python #data-science #cryptocurrency #bitcoin