Spread Trader

Inspiration

We aimed to develop a trading algorithm that leverages arbitrage opportunities between EU and US ETFs, focusing on the semiconductor sector.

What It Does

The algorithm identifies and exploits price discrepancies between semiconductor ETFs across different markets to generate profits.

How We Built It

We started with the fundamentals from Optiver’s arbitrage guide, then enhanced our approach by incorporating deeper research into individual semiconductor companies within the ETFs.

Challenges We Ran Into

We began developing the arbitrage strategy late, initially struggling with a negative PnL. Competing with teams that had significantly higher profits was tough, and our biggest challenge came after fixing bugs, as changes in ETF pricing affected our strategy, likely due to our reliance on mispricing opportunities.

Accomplishments We're Proud Of

We significantly improved our PnL in a short time, making our strategy competitive despite switching to this project late.

What We Learned

We learned to quickly adapt to changes—both in shifting projects and responding to market fluctuations—while staying resilient and taking calculated risks under pressure.

What's Next for Spread Trader

If we had more time or resources to further improve our algorithm, we would make our algorithm more adaptive and explore additional strategies beyond arbitrage, such as long-term holdings in growing sectors and safer investment approaches.