This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To address quantitative conflicts from multiple trading signals, a novel bi-objective convex optimization formulation is designed to balance investor preferences between profitability and risk tolerance. We understand that cryptocurrencies carry significant financial risks. Therefore this process includes tunable parameters such as volatility penalties and action thresholds. In experiments conducted in the cryptocurrency market from 2020 to 2022, which encompassed a vigorous bull run followed by a bear run, the OTT achieved an annualized profit of 15.49%. Additionally, supplementary experiments detailed in the appendix extend the applicability of OTT to other major cryptocurrencies in the post-COVID period, validating the model's robustness and effectiveness in various market conditions. The arbitrage operation offers a new perspective on trading, without requiring external shorting or holding the intermediate during the arbitrage period. As a note of caution, this study acknowledges the high-risk nature of cryptocurrency investments, which can be subject to significant volatility and potential loss.

翻译：本研究提出了一种新颖的多变量配对交易套利方法，称为最优交易技术（OTT）。我们提出了一种选择性构建以加密货币为锚定物的法币"篮子"的方法，用于同时监控和利用交易机会。为解决多重交易信号产生的量化冲突，本文设计了一种新颖的双目标凸优化模型，以平衡投资者在盈利能力和风险承受能力之间的偏好。我们认识到加密货币具有显著的金融风险，因此该流程包含可调参数，如波动性惩罚和行动阈值。在2020年至2022年加密货币市场（涵盖强劲牛市及后续熊市）的实验中，OTT实现了15.49%的年化收益。附录中详述的补充实验将OTT的适用性扩展到后疫情时期的其他主要加密货币，验证了该模型在不同市场条件下的稳健性和有效性。该套利操作为交易提供了新视角，无需在套利期间进行外部卖空或持有中间资产。需要谨慎说明的是，本研究承认加密货币投资具有高风险特性，可能面临显著波动和潜在损失。