I build & run crypto trading strategies. Research, code and lessons from live trading. Read my research ↓
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Do breakouts work in crypto? — Research #1
There are many ways to measure trend. I tested one of the simplest: breakouts.
Point-in-time Top 40 Binance perp universe, 2021–2025. Simple rules, costs, different speeds and continuous scoring.
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dima retweeted
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Trading Crypto Funding Rates — Part 1
After breakouts, I wanted to test funding.
Buy relatively cheap funding, short expensive funding. A simple idea, but do the payments survive price moves and trading costs?
Binance perps, 2023–2025. Here is what I found.
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A deliberately simple strategy
Top 50. Last 3 days of funding. Half long cheap, half short expensive. Equal weights, daily checks.
At 10 bps per amount traded:
• Gross SR: 0.55
• Net SR: -0.47
• Annual turnover: 177.9×
The trading bill ate the return. Not good enough for me.
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What I take from this:
Recent funding looked useful, but price moves took back part of the payment. The long and short sides did not contribute equally.
The simple daily rule lost after costs. Next I want to see whether trading less helps which I will post tomorrow.
Full article:
dimaquant.substack.com/p/doe…
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nitter.net/dima_quant/status/2100…
Update: our bot succesfully passed the @ProprXYZ challenge 1st time.
Now we begin running on real funds there executing on @HyperliquidX .
nitter.net/dima_quant/status/2098…
@ProprXYZ update: just another 1% left to go untill hit the 5% profit target on the 100k that I hooked up to one of my bots.
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