shreejitverma/Statistical-Arbitrage-Reversal-and-Momentum-Strategies — reverse-engineered prompt

Build me a Python research tool for testing crypto statistical arbitrage strategies using Binance historical data.

I want it to download daily price and volume data for major crypto pairs like BTC, ETH, ADA, BNB and others, clean and line up the data, then test both short term reversal and longer term momentum strategies over different lookback windows. The main goal is to compare a long short momentum strategy, especially around 120 days, against simply holding Bitcoin.

Please include a simple config file where I can change the date range, symbols, lookback windows, liquidity filter, and transaction cost. I want one command to run the whole pipeline, fetch data, prepare it, generate signals, backtest, and print clear results like annual return, Sharpe ratio, max drawdown, alpha, beta, correlation to BTC, and transaction cost impact.

Also make some basic charts for cumulative returns and strategy comparisons. Keep it educational and research focused, not live trading. Look up current Binance API docs if needed.