Altcoin-to-Bitcoin Relative-Value Trading with EMA Benchmarks and Exposure Limits

Summary

This multi-coin futures strategy compares each altcoin’s price relative to Bitcoin with a benchmark index of those relative prices. It shorts coins trading above the index and buys those below it, scaling target exposure with the size of each deviation. A later revision replaces fixed starting-price references with an exponentially weighted moving average, intended to keep the benchmark responsive as prices change and reduce accumulated positions.

The document describes controls for deviation limits, account-level stop loss, position adjustments, and iceberg-style orders that are quickly canceled and replaced. It also explains how trade value, adjustment thresholds, and order size affect exposure and trading frequency. The author reports that backtests showed lower holdings and drawdown with the revised benchmark, but gives no detailed results. Risks include large positions when a coin moves independently, leverage and liquidation exposure, crowded stop-loss exits, and exchange or execution issues. The guidance is specific to Binance futures and emphasizes research and parameter selection before live use.

Key ideas

• The strategy trades altcoin prices relative to Bitcoin, buying below a cross-coin benchmark and shorting above it.
• An EMA-based reference is intended to track changing relative prices better than fixed initial prices.
• Trade value maps index deviation to target exposure, while adjustment and iceberg order values govern execution.
• Deviation caps and an account-level stop loss can limit exposure, though individual coins may still move independently.
• The document cites backtest improvements without detailed statistics and warns about leverage, drawdown, and crowded exits.

Tags

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