A 2021 Crypto Basket Review and Threshold Rebalancing Backtest

Summary

The article reviews a basket of Binance USDT perpetual market symbols over 2021 and compares equal-weight buy-and-hold performance with a threshold-based rotation strategy. It normalizes each coin’s price series to its starting value, fills missing early observations for coins listed later, and calculates average and median basket paths. It reports a large mean gain, a smaller median gain, and substantial concentration in a few standout tokens. A version excluding newly listed symbols is also presented as a check on survivorship effects.

For the trading test, the author uses hourly data and rebalances holdings when a coin’s portfolio weight moves outside a narrow band around equal weight. Reported outcomes vary depending on whether the full basket, lower performers, or top performers are selected. These results are historical and depend heavily on constituent choice, especially hindsight selection of winners. The document also acknowledges fees and survivorship concerns, but its sample and described calculations do not establish that the strategy would generalize to future markets.

Key ideas

• The review compares a normalized average crypto basket with its median constituent performance.
• A small number of exceptionally strong tokens account for much of the basket’s reported gain.
• The rebalancing method trades when portfolio weights drift beyond a set band around equal weighting.
• Reported strategy results change substantially with the choice of basket constituents.
• Historical performance, hindsight selection, listing changes, and fees limit the conclusions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.