B-TIER technique
Crypto dollar-neutral reversal — naive long/short, eaten by fees
100k ft — What is this?
Crypto dollar-neutral reversal — naive long/short, eaten by fees
50k ft — Why care?
@avi_mukesh: simple reversal strategy on crypto (short if up, long if down), dollar-neutral scaling. Looks good without costs, transaction fees kill it. Honest starter example for learning backtesting caveats.
10k ft — Key takeaways
(no takeaways yet)
5k ft — Tools & techniques
(no tools tagged)
dollar-neutral reversal, transaction cost analysis
1k ft — Deep-dive / try it
A simple reversal strategy on crypto:
If the price goes up, go short and If the price goes down, go long.
Dollar-neutral means total longs equals total shorts.
Positions are scaled so total absolute exposure stays equals 1, keeping risk consistent.
Without considering any transaction costs, the results seem good. With transaction costs, however, the returns vanish quickly.
But I found this is still a good start when learning before starting to explore other signals and strategies.
Comment “quant” for the code.
DISCLAIMER: just for educational purposes, not financial advice
#quant #mathematics #quantfinance #finance #math
zenjitoo
14w
5.1 sharpe? From something this simple. Thats ridiculous. Do you even have any idea how difficult 5 sharpe is to obtain and how rare it is.
Transcript excerpt
This is the simplest coin strategy you can build. I pulled hourly data from Binance over the past three years for these cryptos. Bitcoin, Ethereum, Solana, and a few others. The idea is simple. If on the last hour the price went up, short it, if it went down, buy it. Then make your portfolio do the neutral, normalize the weights, and rebalance every hour. Computing the returns and plotting them cumulatively would go a graph like this. The sharp ratio seems amazing. It's over five. In comparison, this is a graph of cumulative returns if we just bought and held these coins over the past three years. The sharp is close to zero. It looks like our reversal strategy works, but what's the catch? This is a perfect world back test. We've completely ignored transaction costs such as slippage and commission. For a strategy to work, it needs to survive these. But if you're just starting out in Quant Research, this is where you begin. Comment Quant for the code and follow for more Mathematical Finance content.