Spread Mean Reversion Strategy [SciQua]

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‎ ‎‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ Spread Mean Reversion Strategy [SciQua]
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This invite-only futures spread strategy applies a statistical mean reversion framework, executing limit orders exclusively at calculated Z-score thresholds for precise, rules-based entries and exits. It is designed for CME-style spreads and synthetic instruments with well-defined reversion tendencies.

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‎ ‎‎ ‎ ‎ ‎ ‎ ‎ Core Concept
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The strategy calculates a rolling mean and standard deviation of a chosen spread or synthetic price series, then computes the Z-score to measure deviation from the mean in standard deviation units.

• Long entries trigger when Z crosses upward through a negative entry threshold (`-devEnter`). A buy limit is placed exactly at the price corresponding to that Z-score, optionally offset by a configurable tick amount.
  
• Short entries trigger when Z crosses downward through a positive entry threshold (`+devEnter`). A sell limit is placed at the corresponding threshold price, also with optional offset.
  
• Exits use the same threshold method, with an independent `Close Limit Offset` to fine-tune exit placement.
  

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‎ ‎ ‎ ‎ ‎ ‎‎ ‎ Key Features
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• Persistence filter – Requires the Z-score to remain beyond threshold for a configurable number of bars before entry.
  
• Cooldown after exits – Prevents immediate re-entry to reduce over-trading.
  
• Daily and weekend flattening – Force-flattens positions via limit orders before exchange maintenance breaks and weekend closes.
  
• Auto-rollover detection with persistence – Detects when the second contract month’s daily volume exceeds the first for a set number of days, then blocks new entries (optional).
  
• Configurable tick offsets – Independently adjust entry and exit levels relative to threshold prices.
  
• Minimum spread width filter – Blocks trades when long/short entry thresholds are too close together.
  
• Contract multiplier override – Allows correct sizing for synthetic symbols where `syminfo.pointvalue` is incorrect or missing.
  
• Limit-only execution – All entries, exits, and forced-flat actions are executed with limit orders for price control.
  

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‎ ‎‎ ‎‎ ‎ ‎ ‎ ‎ ‎ ‎ Entry Blocking Rules
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New trades are blocked:

• During daily maintenance break pre-windows
  
• During weekend close pre-windows
  
• After rollover triggers, if `Block After Roll` is enabled
  

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‎ ‎‎ ‎‎ ‎‎ ‎ ‎ ‎ ‎ ‎ Intended Markets & Usage
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• Built for futures spreads and synthetic instruments, including calendar spreads.
  
• Performs best in markets with clear seasonal or statistical mean-reverting tendencies.
  
• Not designed for strongly trending, non-reverting markets.
  

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‎ ‎‎ ‎ ‎ ‎ ‎‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ Risk Management & Defaults
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• Fixed default position size of 1 contract (qty calc function available for customization).
  
• Realistic commission and slippage assumptions pre-set.
  
• Pyramiding disabled by default.
  
• Default Z-score levels: Entry at ±2.0, Exit at ±0.5.
  
• Separate tick offset controls for entries and exits.
  

Note: This strategy is for research and backtesting purposes only. Past performance does not guarantee future results. All use is subject to explicit written permission from the author.