# Crypto Stat Arb

A crypto stat arb strategy based on carry/momentum/breakout on the top 30 most liquid by rolling volume Binance perpetual futures from 2019-2024. Part I does research to examine the alphas. Part II codes up the backtest using `rsims` as a rough structure implementing a trade buffer. 

Please see [Crypto Stat Arb Series I: Quantifying & Combining Alphas](https://analytic-musings.com/2024/03/10/crypto-stat-arb-I/) for part I and [https://analytic-musings.com/2024/03/11/crypto-stat-arb-II/](https://analytic-musings.com/2024/03/11/crypto-stat-arb-II/) for part II