Trading Games: Beating Passive Strategies in the Bullish Crypto Market
研究加密货币市场中协整配对交易的有效性，通过系统参数优化和动态风险管理，发现该策略能持续产生风险调整后的超额收益，为数字资产投资提供参考。
ABSTRACT This study examines the effectiveness of cointegrated pairs trading in cryptocurrency markets, introducing systematic parameter optimization within the trading framework. The analysis is conducted using a dataset comprising ten major cryptocurrencies, selected based on market capitalization and consensus mechanism, spanning the period from January 2019 to May 2024. The methodology incorporates dynamic risk management through adaptive trailing stop‐loss and volatility filtering mechanisms. Empirical results demonstrate that the pairs trading strategy consistently outperforms conventional pairs trading and passive approaches, generating significant risk‐adjusted excess returns, while maintaining low market exposure. These findings contribute to the literature on empirical finance and provide valuable insights into alternative investment strategies for emerging digital asset markets.