Lesson
The market
By Thomas Jamais (Backtestd) · Published · Updated
In short
Across millions of simulated trades, buying while Bitcoin rose made plus 0.11 R per trade. Selling made minus 0.09.
When Bitcoin went sideways, both sides were close to zero. And when it fell, even shorts lost 0.10 R per trade. Most of the profit was the market's rise, not the strategy.
If your strategy only works when the market rises, you own the market, not an edge.
The numbers
| Group | Value |
|---|---|
| Longs · BTC rising | +0.108 R |
| Shorts · BTC rising | −0.095 R |
| Longs · BTC flat | −0.004 R |
| Shorts · BTC flat | −0.012 R |
| Longs · BTC falling | −0.057 R |
| Shorts · BTC falling | −0.104 R |
How we measured it
Every number comes from the lab's database: — strategy versions with at least 100 trades each, tested on crypto perpetual futures from 2022 to 2025 with fees, slippage and funding. One version = one strategy with one set of settings. Results are in R (the amount risked per trade).
What to do instead
- Compare every result with simply holding the market over the same days.
- Check your strategy in a falling and a flat market, not only a rising one.
- Count longs and shorts separately: if only one side works, it may just be the trend.
Verify it yourself
- Write the rule exactly (below: our specification and every setting we tried).
- Get free data: Binance's public archive (data.binance.vision) has years of candles; OKX and most exchanges offer an API.
- Include costs: fees on both sides, slippage, and funding for perpetual futures.
- Count results in R (risk per trade), not in %, and look at the typical version, not the best one.
- Split your data in two and keep a part you never look at until the end.
- Compare with simply holding the market over the same days.
Disclaimer
Educational content based on historical backtests. Not financial advice. Past results do not predict future results. Trading leveraged products can lose more than you invest.