Crypto Trading Strategies and Risk Management
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In a backtest that "only charges the funding fee once at close," the most direct consequence is that it compresses a path-dependent, ongoing cash f...
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Two strategies have the same returns, but one holds positions for less time. It is not necessarily better. The idea that shorter holding time means...
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A crypto strategy that shows profit in backtesting does not automatically mean its entry signal is better than random picking. These two things are...
When candles are missing in a backtest, the first thing to determine is whether the gap is caused by "no trades happening" or "data not being retri...
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No, you cannot simply add them up. When multiple strategies share one pool of capital, each strategy's backtest return is calculated under the assu...
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Whether a late-executed signal is worth chasing cannot be decided by gut feeling. You need to run a delayed backtest first—put the "lateness" condi...
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"Average return is positive but the account loses money" is not a glitch in your account. It happens because the "average" you see and the "compoun...
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Time-based splitting alone is not enough, because crypto strategy return labels often span multiple periods, and adjacent data points overlap and a...
Two coins being highly correlated is not a sufficient condition for pairs trading. Correlation describes the degree of short-term co-movement. Pair...
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Limit order fills that consistently see price move against you are a classic sign of adverse selection: your order only got filled because informed...
Beating VWAP only shows that the price you got within your execution window was better than the market volume-weighted average price. But it does n...
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Using historical losses to estimate the Expected Shortfall (ES) of a crypto portfolio comes down to one core action: sort the historical daily port...
A strategy claims to have "beaten BTC." The conclusion itself may be true, but whether the comparison is fair depends on a few conditions that are ...
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Win rate by itself has almost no reference value when the number of trades is small. A strategy that wins 60% of 30 trades could have a true win ra...
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Parameters should be locked in before entering out-of-sample testing. Once you start evaluating performance on out-of-sample data, any parameter ad...
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When you frequently deposit and withdraw crypto, the "return rate" shown on your account page is probably not a reliable way to measure your real i...
VaR is not the maximum loss, because its definition never promises a "maximum." VaR answers the question: "At a given confidence level and time hor...
Estimating strategy capital capacity is not about calculating a precise "upper limit." The core is to find the point where your trading begins to n...
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When a single candle touches both take profit and stop loss, there is no "objectively correct" answer in backtesting—only which assumption you choo...
A high Calmar ratio does not automatically mean a strategy's drawdown is safer. It measures the ratio between historical maximum drawdown and annua...
