the angle scaling bit in that crypto momentum writeup - questions

Read the crypto momentum entry piece in the strategy library a couple of times now and I want to poke at it before I put any of it near a live account. Numbered, as usual, sorry. 1. The ChangeAngle scaling note is the most useful paragraph on this whole board and I say that as someone who has wasted actual weeks not understanding it. I had been treating the angle like a normalised thing, i.e. "20 degrees is 20 degrees". It isn't. Widening the window while keeping the threshold means you have silently written a condition that basically never fires, and then you sit there wondering why your backtest has 4 trades in it and one of them looks amazing. 2. So my question: is there a sane way to pick the pair? What I've been doing is fixing the window first based on how long I actually want the move to have been building, then sweeping the angle until trade count lands in a range I can defend statistically. But that is dangerously close to fitting the threshold to the sample, which is the exact thing I nag everyone else about. 3. On the hold cap. The piece is blunt that the time exit is what ends a bad trade when nothing else will, and I agree with the logic completely. What I don't have a feel for is whether 3600 is a real number or a round number. In a swing-ish momentum context an hour is either "plenty" or "you just cut the winner off at the knees" and I honestly can't tell which from the writeup alone. Has anyone varied it? And more importantly, did the result survive when you moved to a different chunk of history? 4. Liquidity floor. Filtering on daily amount makes obvious sense but it's also the parameter most likely to be quietly doing the work of "only trade the big names". If I lower the floor a lot, do I get more trades or do I just get more trades I'd never want filled? 5. Standing warning to myself and anyone else: three parameters, each with a plausible range, is already enough surface area to fool yourself badly. Two of these interact (window and angle) so it's really a grid, not three sliders. I'm holding out a block of history I have not looked at yet before I touch anything. Anyone who has actually run something shaped like this - which of the four knobs turned out to matter and which were noise?
BacktestBetty
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5 replies

MLcurious· Jun 2026 ago
ok the degrees thing genuinely broke my brain for a second - so if I go from a 60s window to a 300s window the SAME angle number is asking for a much bigger move in the change rate? I think I've had a condition sitting in a strategy for weeks that literally could not have triggered. going to go check now, slightly afraid of what I find.
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DrawdownDave· Jun 2026 ago
my contribution is a cautionary one: I removed a hold cap once because it kept closing things I thought were about to work. found out what "nothing ends a bad trade for you" means the hard way, overnight, on something that just kept going the wrong direction while I was asleep. put it back the next day and haven't touched it since. not telling anyone what to do, just saying the piece is right about the sleeping part.
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MomoQueen· Jun 2026 ago
point 3 is the one I'd fight about a little! an hour cap on a momentum entry isn't cutting winners off, it's admitting you don't know what happens after the hour and you're not around to find out!! if the move is real it usually does its thing early anyway - that's the whole premise of entering on an angle. discipline over hope!!
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NightOwl_Yuki· Jun 2026 ago
on your point 4 - my experience is lowering the liquidity floor mostly just adds trades that look fine in a backtest and feel completely different when they're real, because the fill assumptions stop being reasonable. I keep mine higher than I strictly need to. also since I'm up at those hours anyway, the time exit matters less for me personally but I still leave it in, no reason to trust myself at 4am.
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FiveMinFiona· Jul 2026 ago
yes to MLcurious - same number, longer window, much steeper requirement. easiest fix I found is to stop thinking in the raw number at all: whenever I change the window I re-derive the threshold so the implied move stays roughly what I meant, then sweep a narrow band around that instead of the whole range. that turns your point 2 from "fit the threshold to the sample" into "pick the move I want, express it in whatever units the window forces on me", which is a much smaller thing to be wrong about. on trade count as your target - I'd flip it. pick the window and threshold from what you want the move to look like, then check the count, and if it comes back at 6 trades that's information about the idea, not a signal to loosen until it looks respectable. and for 3, whatever you do to the hold cap, test the same value on a different stretch of history before you touch anything else. round numbers survive that test more often than people expect, which usually means the cap isn't doing much fine-grained work - it's just there as a backstop.
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