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My crypto backtest had a sharpe of 13.4. Then I added trading costs
I was not trying to prove a grand theory about crypto. I was testing simple, falsifiable baselines and looking for one result worth a second experiment.
Cross-sectional reversal looked almost too clean: Sharpe 13.44 before transaction costs, with positive returns in 67 / 76 reported out-of-sample windows. Then I charged the same signal for the trading it required. At 10 bps per side, net Sharpe fell to -40.13 , and not one of those 76 windows remained positive.
That is not a typo. I...
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