Arbitrage Spot-Futures Don++

Strategy: Spot-Futures Arbitrage Don++

This strategy has been designed to detect and exploit arbitrage opportunities between the Spot and Futures markets of the same trading pair (e.g. BTC/USDT). The aim is to take advantage of price differences (spreads) between the two markets, while minimizing risk through dynamic position management.

[Operating principle
The strategy is based on calculating the spread between Spot and Futures prices. When this spread exceeds a certain threshold (positive or negative), reverse positions are opened simultaneously on both markets:
- i]Long Spot + Short Futures when the spread is positive.
- i]Short Spot + Long Futures when the spread is negative.

Positions are closed when the spread returns to a value close to zero or after a user-defined maximum duration.

[Strategy strengths
1. Adaptive thresholds :
- Entry/exit thresholds can be dynamic (based on moving averages and standard deviations) or fixed, offering greater flexibility to adapt to market conditions.

2. Robust data management:
- The script checks the validity of data before executing calculations, thus avoiding errors linked to missing or invalid data.

3. Risk limitation :
- A position size based on a percentage of available capital (default 10%) limits exposure.
- A time filter limits the maximum duration of positions to avoid losses due to persistent spreads.

4. Clear visualization:
- Charts include horizontal lines for entry/exit thresholds, as well as visual indicators for spread and Spot/Futures prices.

5. Alerts and logs:
- Alerts are triggered on entries and exits to inform the user in real time.

[Points for improvement or completion
Although this strategy is functional and robust, it still has a few limitations that could be addressed in future versions:

1. [Limited historical data :
- TradingView does not retrieve real-time data for multiple symbols simultaneously. This can limit the accuracy of calculations, especially under conditions of high volatility.

2. [Lack of liquidity management:
- The script does not take into account the volumes available on the order books. In conditions of low liquidity, it may be difficult to execute orders at the desired prices.

3. [Non-dynamic transaction costs :
- Transaction costs (exchange fees, slippage) are set manually. A dynamic integration of these costs via an external API would be more realistic.

4. User-dependency for symbols:
- Users must manually specify Spot and Futures symbols. Automatic symbol validation would be useful to avoid configuration errors.

5. Lack of advanced backtesting:
- Backtesting is based solely on historical data available on TradingView. An implementation with third-party data (via an API) would enable the strategy to be tested under more realistic conditions.

6. [Parameter optimization :
- Certain parameters (such as analysis period or spread thresholds) could be optimized for each specific trading pair.

[How can I contribute?
If you'd like to help improve this strategy, here are a few ideas:
1. Add additional filters:
- For example, a filter based on volume or volatility to avoid false signals.

2. Integrate dynamic costs:
- Use an external API to retrieve actual costs and adjust thresholds accordingly.

3. Improve position management:
- Implement hedging or scalping mechanisms to maximize profits.

4. Test on other pairs:
- Evaluate the strategy's performance on other assets (ETH, SOL, etc.) and adjust parameters accordingly.

5. Publish backtesting results:
- Share detailed analyses of the strategy's performance under different market conditions.


[Conclusion
This Spot-Futures arbitrage strategy is a powerful tool for exploiting price differentials between markets. Although it is already functional, it can still be improved to meet more complex trading scenarios. Feel free to test, modify and share your ideas to make this strategy even more effective!

[Thank you for contributing to this open-source community!
If you have any questions or suggestions, please feel free to comment or contact me directly.