Sizing Caps: 2–5% Per Pair — Spreads, Signals, and Friction | TheNode.pro

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Spreads, Signals, and Friction

Sizing Caps: 2–5% Per Pair

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Spreads, Signals, and Friction

Course Overview

Spread and Hedge

1The Log-Price Spread Formula

2Estimating Beta: OLS vs Rolling vs Kalman

3Beta Drift and the 15% Abort

4Z-Scores from Frozen Mu and Sigma

Signals and Perp Costs

5Mean-Reversion Entries Without Same-Bar Fills

6Perp Friction vs Equity Borrow

7Fees and Slippage on a CLOB

8Hourly Funding as First-Class PnL

Filters and Regime

9The Break-Even Entry Filter

10Sizing Caps: 2–5% Per Pair

11When the Relationship Changes

12Net PnL Identity: Gross Minus Costs

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