Crypto Index Hedging with Relative-Value Futures Positions

Summary

This strategy trades a basket of USDT-margined crypto perpetuals by comparing each asset’s price relative to Bitcoin with a basket index. It maintains a smoothed reference level for each coin-to-Bitcoin ratio, then uses deviations from the index to guide long or short position values. The settings include trade symbols, exposure per percentage point of deviation, adjustment thresholds, and an iceberg order value. The implementation also tracks account equity, unrealized profit, margin, and position exposure, with a configurable stop-loss threshold and optional mock-trading mode.

The document provides implementation details and risk controls, but no backtest results or evidence of profitability. It is designed for Binance futures and explicitly refuses virtual backtesting. The source is incomplete, so the full index calculation, order logic, and behavior under different market conditions cannot be independently assessed. Basket composition, leverage, fees, funding, execution costs, and correlated losses may materially affect results.

Key ideas

• The strategy measures each traded coin’s price relative to Bitcoin and compares it with a basket index.
• A smoothed reference ratio is used to track the baseline for each coin.
• Position values are adjusted according to relative deviations, subject to configured thresholds.
• The implementation monitors account margin and includes a configurable equity-based stop condition.
• The supplied source is incomplete and does not establish backtested performance.

Tags

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