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Strategy file: cointegrationPairs.js Market: spot

Description

Engle-Granger (1987) two-step cointegration with MacKinnon (1991) critical values. Long-leg trader; partner pair runs as a mirror. Spot.

How it works

Two non-stationary price series x_t, y_t are cointegrated if a linear combination z_t = x_t - β·y_t is stationary (I(0)) even though each series alone is I(1). Engle & Granger (1987) showed that under cointegration the spread z_t mean-reverts at a rate identifiable by an error-correction model. The strategy estimates β by OLS, monitors the spread z_t, and goes long the leg whose price is below its cointegration-implied fair value while shorting the other (or, in spot-only mode, holds cash on the short side). Continuous re-estimation of β prevents stale hedge ratios as the relationship drifts. This is the foundational pairs-trading framework that underlies statistical arbitrage.

Capital & Period

Order sizing and candle timeframe.

Key Type Default Description
PERIOD select 5 Candle timeframe Gunbot feeds the strategy. 1-3 min suits very liquid spot or perp; 5 min is the balanced default; 15 min reduces noise on thinner pairs at the cost of slower adaptation.
TRADING_LIMIT range (range 10..5000) 900 Order size in QUOTE currency (e.g. USDT) per buy attempt. Sets per-quote notional; raise to commit more per fill, lower to keep risk smaller per trade. Pairs trade: this sizes each long-leg entry. The mirrored short-leg config on PARTNER_PAIR should use a matched TL × β notional.
CP_TL range (range 10..5000) 900 Strategy-specific TL override. When set, takes precedence over TRADING_LIMIT for THIS strategy only — lets you run different sizes per pair from the GUI without touching the global TL.
CP_CAPITAL_ALLOC range (range 100..100000) 9090 Hard cap on capital this strategy is allowed to commit on this pair. Drives circuit breakers (daily-loss = % of this) and exposure math. Set to the maximum quote balance you want this pair to ever consume.

Allocation

How much of THIS pair’s wallet the strategy may use, what it must start with, and the hard config gate. Trading is BLOCKED until Wallet allocation % is set AND Allocation confirmed is ON. Optional grid splits an order into laddered post-only rungs for better fills.

Key Type Default Description
ALLOC_PCT range (range 1..100) 25 Percentage of THIS pair’s wallet balance the strategy may deploy. Effective cap = min(wallet × this %, the absolute Capital allocation). Every order is clamped to it and can never exceed it. REQUIRED — trading is blocked until this is set (>0) and Allocation confirmed is ON.
ALLOC_CONFIRMED boolean False Explicit acknowledgement that the allocation above is correct for this pair. The strategy will NOT place any entry order until this is ON. A clear "ALLOCATION CONFIGURED" line is logged once it is; otherwise an "ALLOCATION NOT CONFIGURED — refusing to trade" line is logged each cycle.
ALLOC_SPLIT_TOL range (range 0..100) 15 How far the starting base/quote split may deviate from what this strategy needs before it refuses to start. Long-only strategies want mostly quote/cash; two-sided market-makers want ~50/50 base/quote; futures want free margin. Mismatch beyond this % blocks trading (unless Enforce start inventory is OFF).
ALLOC_ENFORCE_SPLIT boolean True When ON, the strategy refuses to trade until the starting base/quote split is within tolerance of what it needs (archetype-aware). When OFF, a mismatch is logged as a warning but trading proceeds.
ALLOC_AUTO_REBALANCE boolean True Two-sided market-makers only. ON by default: if the pair starts off the target base/quote split, the strategy places a single bounded market order on start to reach it (e.g. buys ~half the allocation into base for a 50/50 maker), then begins normal trading. Set to OFF to instead stay blocked and log the exact amount to buy/sell manually. Long-only and futures strategies ignore this.
ALLOC_RESERVE_PCT range (range 0..50) 0 A buffer, as % of wallet, kept BELOW the allocation cap and never deployed. Use to leave headroom for fees/slippage. Effective cap = min(wallet × allocation %, absolute cap) − wallet × this %.
CP_GRID boolean False When ON, an entry order is split into several laddered post-only rungs across a price band instead of one order — often gets better average fills. Cumulative size is still clamped to the allocation. OFF = single order.
CP_GRID_LEVELS range (range 2..10) 3 Number of laddered rungs to split an entry into when "Split entries into a grid" is ON. More rungs = finer fills but more orders.
CP_GRID_SPAN_PCT range (range 0.1..5) 0.5 Price band width, as % from the reference price, across which the grid rungs are spread. e.g. 0.5 places rungs from the reference price down to 0.5% below it (for buys).

Partner & Cointegration

Partner pair plus Engle-Granger / ADF settings.

Key Type Default Description
CP_PARTNER_PAIR select USDT-BTC Cointegration partner — Gunbot pair key only (e.g. USDT-BTC), NO exchange prefix. The partner pair must be running as a separate active pair on the same Gunbot instance for its ticker to be reachable via gb.method.getLedger().
CP_LOOKBACK range (range 20..1000) 100 Number of joint A/B observations used for β, α and ADF fitting. Unit follows CP_FRESHBAR_ONLY. Longer = more stable β/τ but slower to detect cointegration breaks.
CP_FRESHBAR_ONLY boolean True When ON, history appends only on new candle closes — β, α, τ are in BAR time matching the discrete ADF model. When OFF (legacy), appends every cycle.
CP_ADF_ENABLED boolean True When ON, requires both correlation ≥ MIN_CORREL AND ADF τ < critical value before any trade. When OFF, falls back to correlation-only heuristic (legacy v1.x).
CP_ADF_LAGS range (range 0..8) 1 Number of lagged differences in the ADF regression Δe = π·e_{t-1} + Σγ_k·Δe_{t-k} + ν. 0 = plain Dickey-Fuller. 1-2 absorbs short-range serial correlation. Higher costs degrees of freedom.
CP_ADF_TAU range (range -5..-2) -3.34 MacKinnon (1991) critical value for residual-based E-G test with intercept. -3.34 = 5% (n≈100). Use -3.90 for 1% level (stricter); -3.04 for 10% (looser).
CP_ADF_REFIT range (range 5..500) 30 How often the ADF is re-evaluated. Lower = more responsive but heavier CPU; higher = relies on cached cointegration status for longer.
CP_MIN_CORREL range (range 0..0.99) 0.7 Belt-and-braces correlation floor (always applied even when ADF is on). Pairs below this never trade. 0.7-0.9 is typical for true crypto pairs (e.g. ETH/BTC).

Spread & Entry/Exit

Z-score thresholds on the spread for entry, exit and stop.

Key Type Default Description
CP_Z_ENTRY range (range 1..4) 2 Long A entry triggers when spread z ≤ -CP_Z_ENTRY (A cheap vs β·B). Higher = require deeper dislocations before entry; lower = entry sooner.
CP_Z_EXIT range (range 0..1.5) 0.3 Exit when |z| < this AND z has reverted toward 0.
CP_Z_STOP range (range 2..6) 3.5 If z diverges further to |z| > this, force-exit at market. Protects against cointegration breakdowns.
CP_MAX_HOLD range (range 20..5000) 200 TTL on the long-leg position. Unit follows CP_FRESHBAR_ONLY.
CP_GAIN range (range 0.05..5) 0.3 Minimum gain % required for the spread-revert exit — ensures the z-reversion clears round-trip fees.

Display

Sidebar precision.

Key Type Default Description
CP_SP range (range 0..8) 4 Decimal places shown for prices in the sidebar.

Runtime & Exchange

Logging, fees and the cross-exchange/safety toggles.

Key Type Default Description
LOG_LEVEL select NORMAL Controls how much the strategy writes to Gunbot logs. SILENT keeps only errors and circuit-breaker messages. NORMAL writes one summary line per cycle plus order events — recommended for live trading. DEBUG adds full internal model state.
WARMUP_CYCLES range (range 1..60) 5 Cycles to wait before the strategy starts placing orders. Lets candle history, OU/ADF fits, and tape caches reach a stable estimate. 5 is fine on liquid pairs; raise to 15-30 on illiquid pairs or longer candle periods.
CP_FEE range (range 0..0.2) 0.1 Taker fee for your exchange tier, as a percentage. Used in P&L bookkeeping and fee-aware exit-price math. Pull the exact number from your exchange fee schedule (VIP/maker tier) for accurate fees.
CP_MAX_DD range (range 1..30) 6 Peak-to-trough equity drawdown that pauses the strategy. Hits → strategy stops placing new orders until manual reset. Tighter (3-5%) for conservative, wider (10-20%) for higher-risk venues.
CP_MAX_EXP range (range 10..95) 50 Hard cap on capital deployed at any moment. Above this, new entry orders are blocked. Lower = more idle cash buffer; higher = more capital working but tighter liquidation risk on futures.
CP_DAILY_LOSS range (range 0.5..10) 2 Daily loss budget as a % of CAPITAL_ALLOC. When today's PnL falls below this threshold, the strategy halts for the remainder of the UTC day. Resets at next-day rollover.
BE_GUARD boolean True When ON, blocks any sell/close at a price BELOW the position break-even while holding a long. Wraps sellMarket, sellLimit, sellLimitPostOnly, closeMarket and closeLimit. Set false to disable (e.g. when you intentionally allow stop-loss exits below BE).
NO_POST_ONLY boolean False When ON, every post-only order is routed as a regular limit order instead. Auto-enabled for PancakeSwap and Aster (DEXes with no post-only flag). Turn ON manually for any exchange that rejects post-only with an error in your logs.
NO_CLOSE_MARKET boolean False When ON, position closes are routed through opposite-side market orders instead of closeMarket(). Auto-enabled when closeMarket is unavailable in the runtime. Use only if your exchange/build does not implement the close API.
CP_TRACE boolean False When ON, writes a structured JSONL audit trail to gunbot_logs/quantroduction/-.jsonl AND echoes every gate, compute, quote, order and fill decision to the main console log. Useful for verifying literature fidelity, debugging mis-fills and post-hoc analysis of strategy behaviour. Default OFF (zero overhead).
VERBOSE_LOGS boolean False When ON, the full Quantroduction × Gunbot dashboard (every config value + state snapshot) re-emits every VERBOSE_INTERVAL_MIN minutes for forensic audit. When OFF (default), the dashboard only fires once per Gunbot restart per pair.
VERBOSE_INTERVAL_MIN range (range 5..240) 30 How often the dashboard re-emits when VERBOSE_LOGS is ON. Lower = more frequent / noisier; higher = quieter. Has no effect when VERBOSE_LOGS is OFF.
BE_GUARD_BLOCK_MARKET_SELLS boolean True Default ON (legacy). Set OFF to enable SOFT BE_GUARD: market sells and closeMarket pass through (treated as urgent / stop-loss). Only limit sells below break-even remain blocked. Prevents BE_GUARD from silently swallowing stop-loss exits.
SCRATCH_LIVENESS_MIN range (range 0..120) 0 When >0: if the pair holds inventory and hasn't filled in N minutes AND the bid is at break-even+1bp, force a market exit to rotate capital. 0 = disabled. Typical: 30.
CONSEC_RESET_CYCLES range (range 60..2880) 480 After this many cycles without any order activity, auto-reset consecutiveLosses to 0. Default 480 cycles ≈ 2h at 15s/cycle. Prevents a 3-loss streak from killing the pair for the entire session.
DRIFT_ATR_FRAC range (range 0..0.5) 0 When >0: scale drift-requote threshold to this fraction of the recent 10-candle high-low range (clamped 2-100 bps). 0 = use fixed *_STALE_DRIFT_BPS. Typical: 0.05 = 5% of recent range. Adapts drift detection to per-pair volatility.
SKEW_QTY_MAX range (range 1..5) 2.5 Maximum ask:bid qty ratio when inventory is heavily skewed. 2.5 means a heavily-bagged pair quotes up to 2.5x ask qty vs bid qty to drain inventory faster. Set 1.0 to disable (symmetric quoting).
SKEW_QTY_TARGET range (range 0.1..0.9) 0.5 Target inventory fraction of pair equity. 0.5 = 50/50 balanced base/quote. Skew kicks in proportionally as actual exposure deviates from target.
PORTFOLIO_INCLUDE boolean True When ON (default), this pair participates in the shared PORTFOLIO_EXP_BUDGET — its exposure counts toward portfolio total and bids pause when budget is exceeded. When OFF, the pair stands alone (use PAIR_EXP_BUDGET for own cap).
PORTFOLIO_EXP_BUDGET range (range 0..1) 0 Cap on total portfolio inventory as fraction of total allocated equity (sum across PORTFOLIO_INCLUDE pairs). 0 = disabled. Typical: 0.6 = 60% inventory cap across the included portfolio. When exceeded, bids pause but exits remain active.
PAIR_EXP_BUDGET range (range 0..1) 0 This pair's own exposure cap as fraction of pair equity (inventory / pair allocated capital). Applies independently of portfolio budget. 0 = disabled. Typical: 0.2 = 20% per-pair cap.
DISABLE_BREAKER_WINDDOWN boolean False When OFF (default), an active breaker (3 consecutive losses or daily loss limit) actively frees capital: cancels open orders and scratch-sells inventory IF profitable (bid >= BE+1bp). When ON, legacy halt-and-hold behaviour.
TRACE_ALL boolean False Master switch for the Quantroduction tracer. When ON, writes detailed per-cycle JSONL to gunbot_logs/quantroduction/ AND emits a verbose console summary. Equivalent to setting every _TRACE to true. Useful for diagnosing silent gates and breakers. Disk overhead ~1MB/day/pair.

Safety & Tuning (v1.0-beta)

Universal safety + tuning knobs added in v1.0-beta. These were previously hidden from the chart page even though the strategy reads them. Setting any of these here will be applied per-pair.

Key Type Default Description
CP_PERIOD string 1 Candle period in minutes used for this strategy's indicators. Common values: '1', '5', '15'. Some strategies need a long history to warm up indicators.
MIN_ORDER_QUOTE range (range 1..100) 5 Floor on order size in quote currency to avoid exchange dust rejections. Match to your exchange's minimum notional. Default 5 USDT.

Risk & Safety

Exposure caps and drawdown circuit breakers

Key Type Default Description
CP_CONSEC_LOSS_MAX range (range 2..10) 3 Consecutive-loss circuit breaker.

Portfolio & Runtime (per-pair overrides)

Per-pair runtime knobs. Override any of these on a single pair without changing the strategy defaults.

Key Type Default Description
RESET_BREAKER_ONCE boolean False Set to true once to clear any tripped circuit breaker (consecutive-loss / daily-loss). The strategy auto-clears this flag after the reset fires so you don't have to remove it.
RESET_STATS_ONCE boolean False Set to true once to zero out wins, losses, consecutive losses, peak equity, max drawdown, trade count, and daily-loss lock. Total PnL is preserved. The flag auto-clears after the reset fires.
QUANTRODUCTION_TRACE boolean False Master switch for the diagnostic tracer. When on, every gate decision and breaker event is recorded so you can see exactly why the strategy did or did not act this cycle.
SPREAD_PNL_JUMP_GUARD range (range 0.1..1) 0.5 Realized-PnL deltas larger than this fraction of pair equity are treated as deposits/withdrawals/data-glitches and skipped. Default 0.5 means a single delta over 50% of equity is ignored. Lower for tighter glitch detection on small accounts.

References & further reading

Configuration playbook