Right now, I’ve opened 100k Topstep combines and deployed the GC/SI stat-arb bot.
The next few days will show whether the system holds up under real conditions.
The cointegration filters are intentionally soft:
ADF = 0.2
EG = 0.5
KPSS = 0.001
Effectively, only ADF is doing the heavy lifting for now; I’ll tighten the parameters once stability is confirmed.
Z-score triggers: Entry1 at 2.5, Entry2 at 3.0, SL at 4.0.
Take-profits at 0.5 (partial) and 0.0 (full), with cooldown activated once Z returns to 1.0.
Risk was reduced 5×: from 1 GC to 2 MGC, and from SI to SIL. This minimizes variance while validating the logic.
#statisticalalgorithms #trading #AlgoTrading