Relative-Value Mean Reversion Across Binance Perpetual Altcoins
Summary
This strategy compares selected altcoins’ prices relative to Bitcoin with a shared index. It aims to short coins trading above that reference and buy coins below it, with position values scaled to the size of each deviation. The updated approach uses an exponentially weighted moving average of each coin’s altcoin-to-Bitcoin price ratio as its reference, intended to keep the benchmark responsive as prices evolve. It also describes adjustment thresholds, iceberg order sizing, and a stop-loss that closes positions when account equity falls below a configured level.
The article says a prior fixed starting-price comparison could allow positions to grow as a coin diverged over time; it claims the moving reference reduced positions and drawdowns in backtests, but gives no detailed results. Risks include large accumulated exposure when a coin moves independently of the index, leverage and liquidation risk, and losses if many users trigger similar stops together. The strategy is intended for Binance futures and requires careful selection of symbols, sizing, and thresholds.
Key ideas
- The strategy buys altcoins that are weak relative to Bitcoin and shorts those that are strong relative to it.
- Position targets scale with deviation from an index of altcoin-to-Bitcoin price ratios.
- An exponentially weighted moving reference replaces a fixed starting-price baseline in the updated design.
- Adjustment thresholds and iceberg order values govern when and how orders are placed.
- Independent coin moves can create concentrated exposure, so position limits and stop rules matter.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.