ramseshk
b59dcc3629
Set up the directory structure and wrote placeholder logic for: - Order Book Imbalance: trades on L2 bid/ask skew - Iceberg/TWAP detection: follows whale accumulation patterns - Funding rate arbitrage: delta-neutral carry on perp funding - Pairs trading: BTC/ETH spread mean reversion - Avellaneda-Stoikov market making: optimal bid/ask quoting Also added shared risk manager, portfolio tracker, and a plain-language strategy walkthrough in docs/.
14 lines
271 B
YAML
14 lines
271 B
YAML
# Pairs Trading Strategy (BTC-PERP / ETH-PERP)
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strategy:
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name: PairsTrading
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pair: ["BTC-USD-PERP", "ETH-USD-PERP"]
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z_entry: 2.0
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z_exit: 0.5
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lookback_hours: 24
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trade_size: 0.001
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hedge_ratio: 0.05
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risk:
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max_drawdown_pct: 0.05
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max_position_per_leg: 0.005
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