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ETH moving average breakout strategy annualized return 127% seizing trend opportunities amidst market divergence
ETH Strong Rebound, Moving Average Breakthrough Strategy Annualized Return Exceeds 120%
The cryptocurrency market has shown a strong upward trend in the past two weeks, with Bitcoin and Ethereum prices rising simultaneously. Bitcoin has increased by about 34%, while Ethereum has risen by over 60%. Despite the significant price surge, market sentiment remains cautious.
The long-short ratio of Ethereum is highly volatile, reflecting significant market divergence. The contract holding amount continues to increase, indicating a rise in trading enthusiasm. The funding rate remains relatively stable, fluctuating slightly around 0%, with long and short forces being relatively balanced. At the beginning of May, shorts faced concentrated liquidations, while on May 12, longs encountered reverse liquidations, reflecting an intensification of market divergence under high leverage.
In terms of quantitative analysis, we use the "Dense Moving Average Breakthrough Strategy" to backtest ETH/USDT. This strategy captures the timing of trend initiation by observing the convergence of multiple moving averages in conjunction with price breakthroughs. After systematic parameter optimization, the best parameter combination performed excellently in backtesting over the past year:
This strategy significantly outperforms the concurrent ETH Buy and Hold strategy (-46.05%), demonstrating strong trend capture ability and risk control effects. However, in actual operations, it is still necessary to pay attention to the impact of market fluctuations and other factors, and it is recommended to use it in conjunction with other quantitative factors and risk control mechanisms.
Overall, although the cryptocurrency market has seen a price increase recently, sentiment and capital momentum have not aligned. Operationally, risk control and rhythm management are still essential. Quantitative strategies can provide a systematic analytical framework and execution discipline for investment decisions, which are worth further exploration and optimization.