Beta Neutral Arbitrage Strategy (Python)

This strategy seeks to exploit pricing differences between two securities while neutralizing overall market beta. By adjusting positions based on each asset's beta to a common index, the portfolio aims to remain insensitive to broad market moves. A long spread goes long the asset with lower beta-adjusted price and shorts the other when the spread deviates beyond two standard deviations. A short spread does the reverse when the spread is above the mean. Trades are closed once the beta-adjusted spread reverts toward its average. Beta neutral arbitrage is common among hedge funds looking for relative value without taking directional risk. A stop-loss is applied if the spread continues to widen instead of converging.

• Entry Criteria:

• Long: Beta-adjusted spread < Mean - 2*StdDev

• Short: Beta-adjusted spread > Mean + 2StdDev []Long/Short: Both sides. [*]Exit Criteria:

• Long: Exit when spread approaches mean

• Short: Exit when spread approaches mean []Stops: Yes, percent stop-loss. []Default Values:

• CandleType = TimeSpan.FromMinutes(5)

• LookbackPeriod = 20

• StopLossPercent = 2m [*]Filters:

• Category: Arbitrage

• Direction: Both

• Indicators: Beta-adjusted spread

• Stops: Yes

• Complexity: Advanced

• Timeframe: Intraday

• Seasonality: No

• Neural networks: No

• Divergence: Yes

• Risk Level: High