The next easy win is to not rebalance at 00:00 GMT like every other cvnt There are very pronounced and exploitable intraday seasonality effects in crypto If you can, spread your trading over the full day, but an easy 80/20 hack is to just move it outside of the window 23:00 to

Another easy win is the easiest of all Shitcoin trend works better on big coins You can model those interactions properly if you’re a smartcvnt But if you’re a dumb cvnt you can just choose a universe of big coins /3

Next easy win Consider ETH and ETC ETC is basically a high beta version of ETH, meaning when ETH moves ETC moves more But on any sort of calculation ETC is gonna look like its trending harder than ETH When that just ain’t so /4

You can compare apples for apples by vol normalizing the time series FIRST @investingidiocy does this with his normalized momentum feature You can extend this concept out to ALL trend following features /5

@investingidiocy The next logical step is to cross sectionalize your trend features This is a fancy way of saying "go long the top half and short the bottom half" Like this /6

@investingidiocy Cross sectional trend is a better behaved version of trend, without some of the lovely qualities that trend following has (ain't shit for free principle) You can see its the same basic equity curve but smoother Which is what "higher Sharpe" means if you aren't a fuckwit /7

@investingidiocy So far, we've stacked a bunch of small but meaningful improvements together to improve @investingidiocy's very good tradfi trend system You might be wanting MORE Well, its a good news/bad news situation /8

@investingidiocy The good news is that we aren't into the rarified air of super-secret alpha stat-arb systems It's all stuff that everyone knows and is happy to talk about The bad news is that your execution won't be good enough to monetize a lot of stuff from here /9

@investingidiocy For example, a feature with well known predictive qualities, which performs at roughly Sharpe 2 in crypto is aggression This is an 3 day average of market buys v market sells Before costs this looks like a dream signal But prepare for disappointment /10

@investingidiocy See how much this signal wiggles around? In the real world that means your system is jumping in and out of positions too much to make a profit unless you are really good at execution (ie be a market maker) /11

@investingidiocy Sometimes signals that lose money can be additive to a portfolio due to the magical power of netting (if system a is long and b is short you save costs) But not here, with naive daily execution /12

@ScottPh77711570 @investingidiocy Great insights as always, Scott. I’m curious—have you explored applying these rebalancing strategies (e.g., rebalancing to the edge of the band or adjusting for intraday seasonality) to futures contracts or a basket of equities? I’d love to hear how the dynamics might differ