Relative-Value Altcoin Trading with a Trimmed BTC Index

Summary

This Binance futures strategy builds an index from selected altcoins’ price changes relative to Bitcoin, measured against each coin’s starting relative price. It compares each coin’s relative change with the index and targets larger positions on coins that have moved below it, while shorting those above it. The index calculation excludes the single strongest and weakest constituent to reduce the effect of unusually large moves. Orders are sized in USDT value, capped by a maximum amount, divided into iceberg-sized submissions, and sent at the opposing top-of-book price before immediate cancellation.

The document says the strategy was not backtested and presents its results only as a limited historical observation, without enough evidence here to assess robustness. It warns that a coin with an independent rally or selloff can accumulate a large position against the move; the maximum amount is intended to limit exposure. Because the strategy runs cross-sectionally without an explicit hedge, broad market moves, constituent selection, stale starting prices, execution costs, and leverage can all affect outcomes. It is described for Binance futures and requires careful parameter and risk control.

Key ideas

• The strategy compares each altcoin’s price change relative to Bitcoin with a cross-sectional index.
• It removes the highest and lowest constituent changes before averaging the index.
• Coins below the index are targeted for longs, while coins above it are targeted for shorts, with size tied to deviation.
• Iceberg-sized orders are sent at top-of-book prices and immediately canceled.
• The author says the strategy was not backtested and warns that idiosyncratic coin moves can build risky positions.

Tags

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