99% of my strategy is shorting altcoins. Where are the losses actually coming from?
When I reviewed 933 live trades, I found that 925 were short positions, and I often held 47–50 positions in the same direction at once.
I thought I was “picking altcoins to short,” but when I broke down the numbers, I found that:
- About 80% of my price losses came from altcoins rising overall (the gains of an equally weighted altcoin basket);
- The part attributable to “which coin I picked” was close to zero and not statistically significant;
- When I split 13 entry features (volatility, trading volume, price gains, and so on) into five buckets, none of the buckets made money in both the first and second halves of the data.
In other words, 50 short positions aren’t 50 independent decisions—they’re one large position betting against altcoins as a whole. When altcoins rise together, they all lose together.
I also tried lowering the limit on same-direction positions from 50 to 10. The maximum drawdown fell from 20.4% to 4.4%, a very noticeable improvement. But the expected return per trade was still negative. Controlling exposure can reduce losses, but it can’t turn a losing strategy into a winning one.
Hedging with BTC didn’t help either, because altcoins don’t move in sync with BTC.
Three takeaways:
1. If you open lots of positions in the same direction at once, calculate your overall beta (how closely you move with the broader market) first. Don’t assume you’re diversified.
2. Risk controls (position limits, net exposure limits) matter, but they address “how much you lose,” not “whether you make money.”
3. When reviewing performance, break returns down into “market exposure + coin selection.” A lot of what people call coin-picking skill is really just betting on the right direction.
How many positions in the same direction have you opened at once? Have you calculated how closely they move with the broader market as a whole?
#合约交易 #山寨币 $BTC
This is not investment advice.
When I reviewed 933 live trades, I found that 925 were short positions, and I often held 47–50 positions in the same direction at once.
I thought I was “picking altcoins to short,” but when I broke down the numbers, I found that:
- About 80% of my price losses came from altcoins rising overall (the gains of an equally weighted altcoin basket);
- The part attributable to “which coin I picked” was close to zero and not statistically significant;
- When I split 13 entry features (volatility, trading volume, price gains, and so on) into five buckets, none of the buckets made money in both the first and second halves of the data.
In other words, 50 short positions aren’t 50 independent decisions—they’re one large position betting against altcoins as a whole. When altcoins rise together, they all lose together.
I also tried lowering the limit on same-direction positions from 50 to 10. The maximum drawdown fell from 20.4% to 4.4%, a very noticeable improvement. But the expected return per trade was still negative. Controlling exposure can reduce losses, but it can’t turn a losing strategy into a winning one.
Hedging with BTC didn’t help either, because altcoins don’t move in sync with BTC.
Three takeaways:
1. If you open lots of positions in the same direction at once, calculate your overall beta (how closely you move with the broader market) first. Don’t assume you’re diversified.
2. Risk controls (position limits, net exposure limits) matter, but they address “how much you lose,” not “whether you make money.”
3. When reviewing performance, break returns down into “market exposure + coin selection.” A lot of what people call coin-picking skill is really just betting on the right direction.
How many positions in the same direction have you opened at once? Have you calculated how closely they move with the broader market as a whole?
#合约交易 #山寨币 $BTC
This is not investment advice.