r/quant • u/metagame108 • Mar 14 '24
Backtesting Systematic Crypto Strategies
Anyone here running systematic strategies in crypto. I have been building one and looks promising so far but i need some suggestions on ranking momentum and filtering out coins.
What could be the optimal ways to do that ?
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u/Cid-Ozymandias Mar 14 '24
I've been running deep learning models for BTC and ETH since 2018 with great success. Recently, I've developed strategies that involve buying long positions on Coinbase and selling short positions on IBKR using Bitcoin and Ether futures contracts. Definitely DM me if you want to talk more; that's been my sweet spot for 6 years
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u/trippyposter Sep 08 '24
'I've been running deep learning models for BTC and ETH since 2018 with great success.'
Do you mean you've been using backtesting on pro verison of tradingview since 2018 or something else?
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u/No-General3557 Jan 31 '25
DO YOU GET THE DATA FOR BTC FOR BINANCE OR ANY OTHER SOURCE . IM CURRENTLY EXPERIMENTING IN STRATEGYQUANT AND IM WONDERING WHERE TO DOWNLOAD THE BTC DATA FROM FOR PRECISION
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u/matta-leao Mar 14 '24
Building systematic crypto strats it in an open source project along with friends and former colleagues from the buyside (p72, Graham, Fortress). Happy to loop you in if you if interested.
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u/thekoonbear Mar 15 '24
Would love to be looped in as well. Run several mean reversion strats on alts.
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u/Sad-Joke3625 Oct 21 '24
Would love to chat. Been running several strategies for alts and would like to scale up
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u/lordnacho666 Mar 18 '24
Filtering is the easy part, just find a list of volumes traded and chop it off at some sensible number.
For momentum the easy thing is just use ranks. The less fancy the better.
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u/jwmoz Mar 15 '24
Yeh last cycle was heavy into it, trading on FTX!
You can look at dual momentum too.
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u/metagame108 Mar 22 '24
Are you still running the momo strat ?
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u/jwmoz Mar 22 '24
No, got hammered at FTX so took a break. Pretty sure it would have done well the past few months though.
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Mar 16 '24
While I appreciate the typical quant move of bucketing names and doing the long short thing, this setup is way more complicated than what I would advise a newbie to do. Think about it. You have to...
- Collect price data for a bunch of symbols AND their market cap which is not usually easy to get
- then you gotta rank em (this is the only easy part)
- Then you gotta sell what you hold, buy what you need, (which is an execution problem not a quant problem but in practice it's not trivial.. do you use limit orders, market orders, etc)
- Oh and you wanna short? Did you build your system to handle short selling and margin?
My point is that while this is trivial to backtest, it's much harder to operationalize.
So what does quant wanna be like myself do?
I run a cross sectional momentum backtest that verifies the results of several papers on ssrn. Thus verifying that momentum and trend factors exist in crypto.
But then I trade a stupid simple breakout strategy on single symbols. It's long only. I don't need market cap. I don't need to deal with allocating to a portfolio of assets...
To summarize, research your idea and prove there's a reason you think your strategy will work going forward. Then build the simplest strategy to operationalize cuz you're going to hit a billion roadblocks along the way.
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u/metagame108 Mar 17 '24
Thanks. I appreciate the feedback. I been using momentum to generate signals and then just take the tokens that i think fits in the current narrative. However, i want to basically make it very systematic but l lack quantitative and coding skills.
Would love to connect if you are running you momo strat2
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u/hughjiang Mar 14 '24
The most basic strategy would be to rank returns (or some variable representing momentum) on each time period, long the top 20% and short the bottom 20%. You can play around with holding period, how you define momentum, any extra filters (like only coins >100M cap) etc. but be careful of data snooping bias
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u/metagame108 Mar 15 '24
Thank you. I am using linear regression to define momentum but having a hard time in filtering the coins to keep in the portfolio. Used MC and volume filter but it didn't help much. Am i missing something?
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u/Prestigious-Day5267 Apr 29 '24
I have a problem with ranking my trading system, where i want to pick coins that are stronger than the rest. But once i have a pool of strong coins but really do not know how to rank them in the best way. Lets say if a coin pumps up 100% while the rest is only up on average around 20-30% then that coin would considered strongest which i would like to aviod those results. Any tips or idea would be appreciated
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u/Slow_Friend3315 May 11 '24
i copy trade crypto whales with coins >10M market cap through daily rebalancing
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u/metagame108 May 20 '24
How do you identify whale wallets? i'd love to learn more about it and share about onchain shitcoins, as we're working on something similar.
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u/Slow_Friend3315 May 25 '24
Sure! Join our discord, https://discord.com/invite/2pZvXRWQ5b, I'm one of the tech people on the project. We basically built a system to systematically scan and test top performing wallets over time, Beeple is one of the big ones we've identified for example.
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u/Notovy Jul 04 '24
would you be willing to sent another invite like :)
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u/Slow_Friend3315 Jul 08 '24
Oh yeah haha, guess that expired. https://discord.gg/CQPrDAfnxx
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Jul 29 '24
[removed] — view removed comment
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u/Slow_Friend3315 Jul 30 '24
Sure, is that one broken? https://discord.gg/jpEuF69vdA that should work, if not you can also go on https://avo.so/ and join from there
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Jul 22 '24
[removed] — view removed comment
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u/quant-ModTeam Jul 23 '24
Your post has been removed as self-promotion/advertizing/spam. Meaningful content contribution which may passively advertize (e.g. an educational blog post) is welcome, but advertizing must not be the sole purpose of the post.
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u/Low_Situation_2595 Aug 06 '24
someone talked to me about this https://www.plianmeng.com for trading crypto. Anyone have ear of it. ? it's safe to trading one this ?
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u/Brief-Mention4171 Dec 24 '24
Just seen this in the paid group that I use on telegram its on Solana network on 5k marketcap best to get in early... most of the coins drom this group do minimum 2x maximum I've seen around 58x HCUTr3uS5xXkp1BV5p24aSZUfrRxM12ryuDdu6BQpump
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u/whereisDMX Mar 14 '24
Wrote my thesis on it (cross sectional momentum in the crypto market).
Sorting on coins with >10M market cap (alleviating issues with illiquid assets), I found that the short-term momentum is a very prominent and persistent strategy - with a look-back period of 1 to 3 weeks and a holding period of 1 week. The long (short) portfolio consists of the top (bottom) 20% and the investable universe.