u/PieceAdept8097 ·
Reddit — r/algotrading
· 2026년 6월 5일, 22:09
· ⬆ 15 포인트
· 💬 8 개 댓글
| Reddit에서 보기 ↗
AI 요약
=== 요약 ===
- 작성자는 높은 승률(76%)을 가진 암호화폐 선물 알고리즘 거래 전략을 공유하지만 시간이 지남에 따라 거래 빈도가 감소하며, 이는 다른 플레이어에 의한 알파 흡수 때문이라고 설명.
- 논지: 이 전략은 여전히 우위(드문 기회)를 가지며, 레버리지(20배)와 다중 페어 폭 거래를 통해 거래 수를 늘릴 계획.
- 품질 평가: 엄격한 백테스팅(OOS, 앞서보기 없음, 슬리피지 고려)이 포함된 잘 연구된 실사 자료이나, 아직 실거래 전이며 특정 페어 공개가 부족함.
=== 심리 ===
중립
=== 투자 아이디어 ===
이 게시물에는 실행 가능한 투자 아이디어가 없습니다. 작성자는 특정 티커, 방향 또는 진입/청산을 추천하지 않고 전략 메커니즘과 향후 계획을 논의합니다. 모든 분석은 전략 수준이지 자산 수준이 아닙니다.
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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?