MST Platform

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MST Forex — Multiple Spread Trading

MST is an algorithmic trading framework for the Forex market. It uses cointegration and PCA disalignment detection across 9 currency clusters to identify mean-reversion opportunities.

Key Metrics (Out-of-Sample, Feb 2022 — Mar 2026)

Sharpe Ratio: 3.58
CAGR: +101%
Max Drawdown: -9.0%
Clusters: USD5, COMFX6, SAFE3, CARRY4, ASIAFX3, CARRY5, EUR5, GBP5, OCEANIA3

How It Works

The V8.1 engine groups 27 FX pairs into 9 cointegrated clusters. Every 30 minutes it computes the TDI (Trend Disalignment Indicator) for each cluster using PCA projection. When the TDI drops below a threshold, it means the cluster has drifted from equilibrium — the system enters a mean-reversion trade. Parameters are frozen after walk-forward optimization with no look-ahead bias.

Technology Stack

MetaTrader 5 for execution, Python V8 engine for analysis, ZeroMQ for data transport, Next.js dashboard for monitoring. Risk management includes 4-level circuit breakers, Kelly-based sizing, and a news filter.

Academic Publication

The methodology is published on Zenodo: Multiple Spread Trading: A Multivariate Mean-Reversion Framework Based on PCA Disalignment Detection Across Asset Classes by Francesco Saverio Canepa (ORCID: 0000-0003-1767-4389).

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