A Very Real, Very Smart 3 Sharpe Crypto Signal That Exploits Rebalancing Algorithms
Introduction
Once you understand this signal, you will go, “That totally makes sense, why didn’t I think of that?!” My goal is for you to realize that when a signal “makes sense”. You need to do almost no kind of backtesting and fitting.
Most people don’t understand what it means to be “creative”. Every signal must be momentum or mean reversion or *shudders* pairs trading. I hope to share with everyone that good signals can be found by thinking deeply about behavioral effects and existing algorithmic signals.
Today, we are exploring an interesting signal that exists to prey on simple rebalancing algorithms. It is a “second-order” type of signal that is interesting to learn and study about precisely because it breaks the 4 minute mile on the type of signals that are “possible”.
