u/PieceAdept8097 ·
Reddit — r/algotrading
· June 05, 2026 at 22:09
· ⬆ 15 pts
· 💬 8 comments
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AI Summary
Summary
Author shares a crypto futures algorithmic trading strategy with high win rate (76%) but decreasing trade frequency over time, attributing to alpha absorption by other players.
Thesis: The strategy still has edge (sparse opportunities) and plans to scale via leverage (20x) and multi-pair breadth trading to increase trade count.
Quality assessment: Well-researched DD with rigorous backtesting (OOS, no look-ahead, slippage accounted), but still pre-live and lacking specific pair disclosures.
Score15
Comments8
Upvote %86%
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Context:
Historical data used has 1s resolution and ranges from Aug 2017 - May 2026. Volatility cycles are computed using 30 features in total on this resolution and trade signal is generated on 15m candles with total \~6k trades in backtest yielding 76% win rate. Ensured absolutely no direct look ahead and avoided indirect overfits using OOS testing which was earlier done from Jan 2025 but now it's extended to freeze the model as it was giving similar outcome (no indirect overfit) so updated model can be used to test other pairs. Interesting thing to note is returns degrade drastically after 2022 coincidentally overlapping with AI era and crypto ETF announcement but the reason for crushed returns is not that win rate dropped or profits reduced or losses increased, it's simply that the number of trades reduced significantly: from averaging 5 trades/day in 2018 to 0.6 trades/day in 2026. I take this as a good news as it just means alpha being absorbed by other players in some ways but the opportunities although sparse, are still there. Transaction costs and slippage are accounted in backtests.
Plan: crypto futures (20x leverage + 0.5 kelly combo will 10x the returns & max\_dd) and multi-pair breadth trading (will 20x the trade count). So first I'll backtest same strat on other pairs to further validate discovered alpha and I'm looking for opposite trades within same regimes across multiple pairs to theoretically confirm the alpha.
Questions?