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Market-neutral momentum

Every day, ranks the most liquid USDT pairs on five signals (medium-term return, short-term reversal, distance from the 90-day high, volume trend and volatility), holds the strongest long and the weakest short, and stays close to market neutral.

cross-sectionalmarket-neutraldailyVersion 1 · published 2026-09-29
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Author info
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0 followers3 strategies published3 currently ranked
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Strategy info
  • Universe: the 80 most liquid USDT pairs by 30-day volume, each with at least 120 days of history, excluding USDCUSDT, DAIUSDT.
  • Ranks the universe on 5 signals (zscore): 30-day return, skipping the last 1 day (higher is long, weight 0.3); 7-day return (lower is long, weight 0.1); distance from the 90-day high (higher is long, weight 0.2); 7/30-day volume ratio (higher is long, weight 0.2); 30-day volatility (lower is long, weight 0.2).
  • Holds the top 8 long and the bottom 8 short, equally weighted.
  • Rebalances every 1 day at the next day's open; gross leverage 1.3×.
  • Costs: 10 bps fee and 5 bps slippage per side.
  • Results since 2021-01-01, against BTCUSDT.
Definition (JSON)
{
  "benchmark": "BTCUSDT",
  "costs": {
    "feeBps": 10,
    "slippageBps": 5
  },
  "crossSectional": {
    "factors": [
      {
        "direction": "high_is_long",
        "signal": {
          "lookback": 30,
          "skip": 1,
          "type": "return"
        },
        "weight": 0.3
      },
      {
        "direction": "low_is_long",
        "signal": {
          "lookback": 7,
          "type": "return"
        },
        "weight": 0.1
      },
      {
        "direction": "high_is_long",
        "signal": {
          "lookback": 90,
          "type": "high_distance"
        },
        "weight": 0.2
      },
      {
        "direction": "high_is_long",
        "signal": {
          "long": 30,
          "short": 7,
          "type": "volume_ratio"
        },
        "weight": 0.2
      },
      {
        "direction": "low_is_long",
        "signal": {
          "lookback": 30,
          "type": "volatility"
        },
        "weight": 0.2
      }
    ],
    "long": 8,
    "normalize": "zscore",
    "short": 8,
    "weighting": "equal"
  },
  "kind": "cross_sectional",
  "leverage": 1.3,
  "rebalance": {
    "everyDays": 1
  },
  "schema": 1,
  "start": "2021-01-01",
  "timeframe": "1d",
  "universe": {
    "assetClass": "crypto",
    "count": 80,
    "exclude": [
      "USDCUSDT",
      "DAIUSDT"
    ],
    "minHistoryDays": 120,
    "quote": "USDT",
    "type": "top_liquidity",
    "volumeLookbackDays": 30
  }
}
Data coverage
12.46% of instrument-days have a bar
Days with fewer names than asked
341
Universe
Point-in-time from 2026-09-29; before that, coins delisted earlier may be missing.
Shorts
Priced on spot, with no borrow or funding cost.
Engine
0.1.0
Performance
Top 80 USDT · 1D · 1.3×Since 2021-01-01
Total Return
-86.65%
$1,335
Ann. Return
-29.11%
annualized
Max Drawdown
88.71%
peak to trough
Sharpe
-0.94
risk-free rate 0
Sortino
-1.25
downside risk
Calmar
-0.33
Ann. Return / Max DD
Alpha vs BTC
-26.65%
annualized
Beta vs BTC
-0.09
daily returns

Equity curve

Drawdown

Entries and exits

Each marker is a past date on which this strategy's rules entered or exited a position in AVAXUSDT, at the average fill price. It is a record of that day, not a price to act at.

124 closed positions.

Composition

Trading volume by symbol, $2,571,256 total · 120 symbols

Returns

Gross profit
+$47,432
Gross profit %
+474.32%
Gross loss
-$56,081
Gross loss %
-560.81%
Profit factor
0.85
Expected payoff
-$2.39
Commission paid
$2,571
Slippage cost
$1,285

Risk & benchmark

Buy-and-hold BTC
+162.28%
Outperformance
-248.93%
Final balance
$1,335
Annualized volatility
31.26%

Trade analysisclosed positions only

Closed positions
3,620
Win rate
43.78%
Win/loss ratio
1.09
Avg win
+$29.93
Avg loss
-$27.56
Avg holding period
8.6 days
Daily turnover
32.14%

Portfolio

Avg symbols held
14.6
Long exposure
49.94%
Short exposure
50.06%
Net exposure
-0.12%
Gross leverage
1.19×
Avg position size
$354.77
Closed notional
$1,284,267