GitHub - Atrone/stat_arb_crypto: trading system with strong evidence of alpha. not using due to reasons including better opportunities personally found elsewhere

for stat_arb_simulator_vertex.py

25% BTC, 75% trading script results in:

daily return w/ futures leverage (20x): 0.0068740981056503135 (0.68%) daily stddev w/ futures leverage (20x): 0.0936598511001627 (9%)

""" Optimal Portfolio Sortino Ratio: 0.0734 """

Hourly predictions, forward tested on past 5mo.

Win rate ~ 56% over ~300 samples.

Name		Name	Last commit message	Last commit date
Latest commit History 9 Commits
arbitrage		arbitrage
exchanges		exchanges
reports		reports
research		research
.gitignore		.gitignore
Bitstamp_BTCUSD_1h_5.csv		Bitstamp_BTCUSD_1h_5.csv
README.md		README.md
__init__.py		__init__.py
config.py		config.py
main.py		main.py

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