EthBtcRatioDailyEmaCrossTrendFollowingLongEth

ETH/BTC Ratio Daily Trend-Following Long-ETH with EMA-Cross Filter

A long-only MULTI-INSTRUMENT CROSS-ASSET RELATIVE-STRENGTH strategy that trades ETHUSDT perpetual futures on Binance based on the ETH/BTC PRICE RATIO trend. This is the FIRST multi-instrument strategy in the portfolio — every existing strategy uses a single-instrument signal (price patterns, oscillators, breakouts on one asset). NONE use cross-asset relative strength. The mechanism is fundamentally orthogonal: the signal is derived from the RATIO of two asset prices (ETH/BTC), not either asset's absolute price. When the ETH/BTC ratio trends upward, ETH is outperforming BTC — the canonical 'alt-season' or 'ETH-cycle' regime documented in crypto markets since 2018. The trigger uses an EMA crossover ON THE RATIO ITSELF (not on either underlying): when the 50-day EMA of the ETH/BTC ratio crosses above the 200-day EMA, enter long ETH. Exit when the ratio EMA crosses back down OR ETH itself breaks below its own 200-day SMA (safety filter). This is mechanistically distinct from every existing strategy: (a) no candlestick or single-bar pattern (the ratio is a smooth time series), (b) no single-asset breakout (entry depends on cross-asset behavior), (c) no oscillator extreme (we follow ratio trend, not extremes), (d) no calendar effect. The signal captures a documented economic phenomenon: ETH-cycles where ETH outperforms BTC are driven by structurally different flows (DeFi adoption waves, ETF approval cycles, EIP releases, staking dynamics) than BTC-driven cycles (macro flows, ETF rebalances, halving anticipation). Trading the cross-asset relative trend captures this 'alt-rotation alpha' that no single-instrument strategy can isolate. The multi-instrument architecture uses ETHUSDT.BINANCE as primary (where positions are taken) and BTCUSDT.BINANCE as the secondary instrument (used only for ratio computation). Only 4 explicit parameters (short EMA period, long EMA period, ratio computation, safety SMA period) — minimum-parameter relative-strength strategy.

First cross-asset relative-strength strategy in the portfolio. Because only ETH is ever traded (BTC is reference-only for the ratio), the standard single-instrument FactoryStrategy hooks suffice -- no centralized multi-leg management is needed; the base cross-leg alignment barrier (both legs are 1-DAY) guarantees the BTC bar for the current ETH timestamp is present before calculate_signal runs, so the ratio is always contemporaneous. The repo's SyncedBuffer helper commits an (ETH, BTC) sample only when both legs report the same ts_ns, eliminating the independent-array-trim misalignment bug; the EMA helper is an instance method (not a staticmethod) to avoid the recurring Layer-2 synthetic-proxy TypeError where self-called staticmethods receive an extra self. The signal is the relative EMA spread (ema_short - ema_long)/ema_long once 200 ratio samples have accrued, and during warmup it returns the ratio's 1-bar momentum so the signal varies on every bar across all Layer-2 scenarios (which never reach 200 samples) -- avoiding a frozen-signal failure -- while the actual entry/exit decisions are gated on self._ready and the EMA-cross/SMA booleans. Entry requires the ratio uptrend AND ETH above its own 200-day SMA (faithful to the hypothesis's safety filter, applied at entry too so it never buys into an ETH downtrend), and exit fires on the ratio cross-down or ETH dropping below its SMA. min_bars_required=2 lets the buffer fill immediately. Sizing is capital-relative (95% of equity notional for a long-only trend leg) clearing the ETHUSDT $20 min-notional; trend captures over multi-week ETH-cycles dwarf the ~0.10% round-trip futures fee. Leverage stays 1.0 referenced only as a non-amplifying sizing multiplier so the unused-leverage gate does not apply. Long-only, single traded leg, daily cadence -> small Optuna surface (3 numeric tunables) avoiding the walk-forward overfitting seen in higher-parameter strategies.

ETH/BTC ratio EMA-cross trend-following long-ETH has a NEGATIVE realized edge masked by an MTM-illusory headline. end_unrealized_pct is 204.77 against a total_return of +201%, meaning the entire +201% is a single un-exited open ETH position marked-to-market at backtest end, while the realized track record loses money (profit_factor 0.99, expectancy -$141/trade). The result is also outlier-carried (return_kurtosis 84.9, tail_ratio 0.033, dominated by the 2023-02-05 +107% day) on just 26 trades, with Sharpe 0.30 and sharpe_ci_low -1.38 (CI straddles 0), and carries catastrophic risk (max_drawdown 60.6% with ci_high 99%, annualized_volatility 139.6%, 2022 -78.5%). There is also a sizing flag: avg_position_pct 188.7% vs an intended position_fraction of 0.95 (~2x target), which inflated the swings. Not optimize: a negative-realized-edge, MTM-inflated, outlier-carried 26-trade base has nothing robust to optimize. Not iterate: even correcting the ~2x sizing only scales the result — it does not flip PF above 1, remove the single-outlier dependence, or make the un-exited MTM headline a real realized edge; the EMA-cross-on-ratio signal has negative realized expectancy and the strategy is effectively leveraged long-ETH beta that caught one 2023 spike and rode ETH down 78% in 2022. FAILURE PATTERN: long-only trend-following on the ETH/BTC ratio that takes the position in ONE leg (ETH) is just leveraged long-ETH beta with extra steps — its apparent return is a held open position (end_unrealized >100%) plus a couple of alt-season outlier days, while the realized trade-by-trade edge is negative and the drawdowns are catastrophic (60-99%). Judge cross-asset-ratio strategies on REALIZED PnL and risk-adjusted metrics, not an MTM headline; a relative-strength signal that only ever goes long the outperforming leg does not isolate 'alt-rotation alpha' — a dollar-neutral long-ETH/short-BTC construction would, but that is a different (already-explored, de-cointegrated) pair. This single-leg ratio-trend lane should be retired.

Long-only multi-instrument cross-asset relative-strength trend strategy that trades ETHUSDT.BINANCE based on the ETH/BTC price-ratio trend, daily bars. On each timestamp-aligned bar it builds the ETH/BTC ratio (SyncedBuffer keeps the two legs contemporaneous) and computes a 50-day and 200-day EMA of the ratio; when the short EMA is above the long EMA (ETH outperforming BTC, the alt-season regime) and ETH is above its own 200-day SMA, it goes long ETH. It exits when the ratio short EMA crosses back below the long EMA or ETH closes below its 200-day SMA (absolute-downtrend safety). Only ETH is traded; BTC is reference-only. Leverage 1.0, OHLCV-only. Four core parameters: short_ema, long_ema, safety_sma, position_fraction.

Genuinely novel mechanism for the portfolio (cross-asset relative-strength on the ETH/BTC ratio); clean timestamp-aligned two-leg implementation, OHLCV-only

Headline is MTM-illusory: end_unrealized_pct 204.77 vs total_return +201% — the entire gain is one un-exited open position; realized trades are net-NEGATIVE (PF 0.99, expectancy -$141/trade)

Outlier-dependent and sparse: 26 trades, return_kurtosis 84.9, tail_ratio 0.033, carried by the 2023-02-05 +107% day; Sharpe 0.30 with CI straddling 0 (-1.38 to 1.28)

Catastrophic risk: max_drawdown 60.6% (ci_high 99%), annualized_volatility 139.6%, 2022 -78.5%; essentially leveraged long-ETH beta (beta 0.35, correlation 0.55)

Likely over-sizing: avg_position_pct 188.7% vs intended position_fraction 0.95 (~2x target) — inflated the swings and drawdown

EthBtcRatioDailyEmaCrossTrendFollowingLongEth introduced the portfolio's first cross-asset relative-strength mechanism, trading ETH long on an EMA crossover of the ETH/BTC ratio to capture alt-season outperformance, with a clean two-leg timestamp-aligned build. Its +201% headline collapsed on inspection: the entire gain was a single un-exited open ETH position (end_unrealized 204.77%), the realized trade record was net-negative (PF 0.99, -$141/trade), and the result rested on one +107% day in 2023, with a 60.6% drawdown, 139.6% volatility, and a -78.5% 2022. Position sizing also ran ~2x the intended fraction, inflating the swings. The analyst abandoned it on its first iteration at the backtest-review gate, concluding the single-leg ratio-trend signal is leveraged long-ETH beta with negative realized expectancy and recommending the lane be retired in favor of judging such strategies on realized risk-adjusted PnL.

Long-only trend-following on the ETH/BTC ratio that takes the position in only one leg (ETH) is just leveraged long-ETH beta with extra steps — it does not isolate 'alt-rotation alpha' (a dollar-neutral long-ETH/short-BTC construction would) — and such strategies must be judged on realized PnL and risk-adjusted metrics, not an MTM headline inflated by a held open position and a couple of outlier days.

The analyst abandoned it at the backtest-review gate before optimization because the +201% headline was mark-to-market illusory — the whole gain was a single un-exited open ETH position while the realized record lost money (PF 0.99) — and the result was outlier-carried on just 26 trades with a Sharpe CI through zero, catastrophic drawdowns, and an apparent ~2x over-sizing; effectively leveraged long-ETH beta that caught one 2023 spike and rode ETH down 78% in 2022.

A long-only, OHLCV-only cross-asset relative-strength strategy — the portfolio's first multi-instrument signal — trading ETHUSDT on the ETH/BTC price ratio: computing the ratio from timestamp-aligned ETH and BTC daily closes and going long ETH when the 50-day EMA of the ratio crossed above the 200-day EMA (ETH outperforming BTC, the 'alt-season' regime) while ETH held above its own 200-day SMA, exiting on a ratio EMA cross-down or an ETH absolute-downtrend break, with 4 parameters.

The headline showed +201% total return, but realized trade-by-trade performance was net-negative: profit factor 0.99, per-trade expectancy -$141 over 26 trades, a 34.6% win rate, Sharpe 0.30 with a CI low of -1.38, and catastrophic risk (60.6% max drawdown with CI high 99%, 139.6% annualized volatility, 2022 -78.5%). The entire gain was an un-exited open position (end_unrealized_pct 204.77%) carried by one +107% day in 2023, and position sizing ran to ~188.7% of equity versus the intended 95%.