Backtesting a Relative-Value Hedge Across Binance Futures

Summary

This installment reviews a multi-currency Binance futures strategy and updates its analysis with minute-level price data. One method compares each asset's price relative to Bitcoin after exponential moving-average normalization, then adjusts signed target exposure according to each asset's deviation from the cross-sectional average. The report also describes a short-altcoin approach with a Bitcoin hedge and includes a simplified account simulator that tracks positions, fees, margin, and unrealized and realized profit.

The evidence consists of a recent live-trading review, plots, and backtests over a two-month sample, plus a sweep of the smoothing parameter. The author reports that minute-level results broadly track the live curve and that changing the smoothing parameter changes simulated profit. These results are sample-specific: the report notes drawdown and sideways behavior, warns that traders who increased trade sizes experienced worse losses, and uses fixed trade values that may leave capital underused. The simulator and backtest assumptions, limited sample, and omitted execution details constrain conclusions; reported returns do not establish robustness or future performance.

Key ideas

• The main strategy sizes relative-value positions from deviations between normalized asset prices and their cross-sectional mean.
• The report also examines short positions in altcoins with a Bitcoin hedge.
• Minute-level backtests and a recent live review are used to compare behavior and explore parameter sensitivity.
• Leverage and larger trade sizes can magnify drawdowns, even when an earlier period performed well.
• The short sample, fixed sizing, and simulator assumptions limit conclusions about robustness.

Tags

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