Relative-Value Crypto Perpetual Strategy: Long Underperformers, Short Outperformers

Summary

This strategy trades a basket of Binance USDT perpetual contracts against BTC. It tracks each coin’s price relative to BTC and compares that ratio with a baseline that is updated using an exponential moving average. The mean of the basket’s relative changes serves as an index; the strategy buys coins whose relative performance is below the index and sells those above it, aiming to trade reversals in relative performance rather than the market’s overall direction.

Target exposure scales with each coin’s deviation from the index. The code adjusts positions only when exposure differs from its target by a configured amount, limits each order’s size, and caps the imbalance between aggregate long and short value. It also includes an account-level loss threshold that triggers position closing. The document provides implementation details and parameter examples, but no performance results. It says the strategy cannot be backtested in its stated environment. Leverage, funding, execution costs, correlation shifts, and persistent relative trends can all affect live results; the loss threshold may also lead to simultaneous exits.

Key ideas

• The strategy measures each selected coin’s price relative to BTC and compares it with a basket average.
• It buys relative underperformers and sells relative outperformers, scaling target exposure with deviation from the index.
• An exponential moving average updates the relative-price baseline over time.
• Order sizing and aggregate long-short limits constrain position adjustments, while an account-level threshold triggers liquidation.
• The document supplies no performance evidence and says the implementation cannot be backtested in its stated environment.

Tags

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