Pavel | Robuxio Profile picture
Jul 28 11 tweets 3 min read Read on X
Can a two-decade-old stock strategy still work in crypto?

I tested Larry Connors’ famous 2-period RSI strategy on crypto.

Here’s what happened (and how I improved it): Image
Larry Connors' RSI(2) strategy is one of the most cited mean reversion systems in stock trading.

But how does it hold up in crypto, a market with 24/7 trading, higher volatility and slightly different behaviour

Let's test it:
Basic entry rules:
1. Close > Moving Average 200
2. Close < Moving Average 5
3. RSI 2 < 10

Exit rule: Close > Moving Average 5

Entry and exit occurs on daily close. Image
Results on Bitcoin are not very good

Only +50% from 2020 to mid-2023.

Mostly out of the market. Performance is flat and inconsistent. Image
Results on Ethereum are even worse.

Flat returns equity curve and no consistent edge.

So… is the strategy useless in crypto?

Not necessarily. Image
What if we take a different approach?

I applied the strategy to a portfolio of the 100 largest coins, always entering the top 3 coins with the strongest 7-day momentum.

Let's take a look at the results:
The strategy returned 370% from 2020 to mid-2023.

It was flat in 2022. Yet this is a period when it should perform relatively decently.

The drawdowns are also quite deep, up to 50%, which is not an ideal characteristic of a Mean Reversion strategy. Image
What's the reason for these large drawdowns?

Entries into the market when conditions are not favourable.

The strategy keeps entering an oversold market in a severe bear market.

But we can avoid this with a regime filter:
My favourite basic regime filter for crypto long trades?

BTC > Moving Average 50

With this simple change in logic, we only enter when Bitcoin is in a bullish regime.
With the BTC > MA(50) filter:

• We avoided much of the 2022 drawdown
• Preserved gains from earlier phases
• Re-entered in 2023 as the market recovered
• Equity curve smoothed significantly Image
At first glance, the RSI(2) strategy looked useless in crypto.

But with a few tweaks, this strategy could be live traded.

Old ideas still work. They just need to be adapted to the nature of the new market.

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More from @PKycek

Jul 14
The best strategies don’t start in code.

They start with a clear idea of how markets behave and in what conditions there is an edge.

Let me explain: Image
When you build from the idea up, you anchor your expectations in market behaviour, not just backtest stats.

That gives you context during live trading:
→ Is this drawdown normal?
→ Is this a regime mismatch?
→ Or is the strategy actually broken?
Let me give you a real example.

We built a breakout strategy called Momentum Catcher with one clear idea:

Profit during volatile long-trend periods.

Everything else flowed from that premise.
Only then did we code the strategy.
Read 11 tweets
Jul 10
Mean reversion is an underrated strategy logic in crypto markets.

Here’s a full breakdown of the 3-Bars Setup: a mean reversion crypto strategy we use to stabilise a breakout-heavy portfolio.

Here's how it works: Image
2/ What is a mean reversion strategy?

A strategy that speculates on a return to the mean.

It is based on the assumption that a quick and stronger than average move in one direction tends to be corrected. Image
3/ But isn’t crypto a breakout market?

Yes. Trend and breakout strategies are where the big money is.

But that’s exactly why mean reversion is valuable:

• It performs in different market phases
• It adds stability to your portfolio

Uncorrelated logic = better equity curve.
Read 11 tweets
Apr 8
Mean Reversion Long strategies:

How to profit from uncertainty...Image
It's all about volatility

These strategies don't need directional momentum.

But the more volatile the markets, the better.Image
Key component: Overreactions

Mean reversion strategies take advantage of over reactions.

The calmer the market, the more efficient it is.

The more volatile, the more inefficient.

It overreacts.

Example 1:Image
Read 6 tweets
Feb 19
Momentum: The most robust edge in crypto trading

Momentum is the tendency of an asset’s price to continue moving in the same direction once it has started.

There are 2 basic types of momentum:

a) Short-term momentum
In crypto, a momentum lasting 1-5 days, the initial price explosion before the first big correction.

b) Long-term momentum
In crypto, this is a period of several weeks, often called trend following.

What are the main differences between short-term and long-term momentum?

Win rate
Expectancy
Absolute returnsImage
1/ Short-term momentum: Breakout Lite strategy

Win rate: 49%
Expectancy: 1,4%
Absolute returns (ROR): 49%

This strategy trades top 20 biggest coins by volume. To the long side.

Average holding time: 2 days

Very robust approach tradable on commodities.Image
2/ Long-term momentum: Trend following Lite strategy

Win rate: 43%
Expectancy: 4.9%
Absolute returns (ROR): 73%

Average holding times: 5 days

This strategy trades top 20 biggest coins by volume. To the long side.

In different version, a strategy well traded on stocks. Image
Read 8 tweets
Dec 3, 2024
1/ ROBUXIO LITE: Launch NOW

Price: FREE
2/ Portfolio of 3 strategies:

Breakout, Trend Following, Mean Reversion.

Long only.

30% allocation per strategy.

No leverage.Image
3/ Breakout strategy:

Max 10 positions in one time.

Trading edge: Short-term momentum.

1 entry condition, 1 exit condition.

Average holding time: 2 daysImage
Read 12 tweets
Oct 10, 2024
How to build short-term momentum strategy?

1. Choose the tool you use to measure momentum:

Start with a momentum indicator: RSI, CCI,...
2. Define the level at which strong momentum enters the market:

Short-term momentum is all about initial momentum change.

The stronger the momentum change, the higher the probability of a winning trade.
3. Use short-term exit:

Initial momentum is in a market for 2-3 days.

Start with time exit - e.g. number of days in position.
Read 7 tweets

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