This research proposes a novel arbitrage approach with respect to multivariate pair trading called Optimal Trading Technique (OTT). We introduce the method to selectively form a "bucket" of fiat currencies anchored to cryptocurrency for simultaneously monitoring and exploiting trading opportunities. To handle the quantitative conflicts that arise when receiving multiple trading signals, a bi-objective convex optimization process is designed to cater to the investor's preference between profitability and risk tolerance. This process includes tunable parameters such as volatility punishment, action thresholds. During our experiments in the cryptocurrency market from 2020 to 2022 when the market was experiencing a vigorous bull-run immediately followed by a bear-run, the OTT realized an annualized profit of 15.49%. We further carried out the experiments in bull, bear, and full-cycle market conditions separately, and found that OTT is capable of achieving stable profit under various market conditions. Apart from the profitability side of the OTT, the arbitrage operation provides a new perspective of trading, which requires no external shorting and never hold intermediate cryptocurrency during the arbitrage period.

翻译：本研究提出了一种针对多元配对交易的新型套利方法，称为最优交易技术（OTT）。我们引入该方法以选择性构建与加密货币锚定的法币"篮子"，从而同步监测并利用交易机会。为处理接收多重交易信号时产生的量化冲突，我们设计了双目标凸优化流程以适应投资者在盈利性与风险承受能力之间的偏好。该流程包含可调参数，如波动性惩罚系数与操作阈值。在2020至2022年加密货币市场的实验期间（市场经历剧烈牛市后随即转入熊市），OTT实现了15.49%的年化收益。我们进一步分别针对牛市、熊市及全周期市场条件进行实验，发现OTT能在不同市场环境下实现稳定盈利。除盈利性外，该套利操作提供了全新的交易视角：无需外部做空机制，且在套利期间从不持有中间加密货币。