  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.
