Bitcoin momentum trading strategy, long and short

A Bitcoin momentum trading strategy that takes both directions. On perpetual futures the strategy decides the side per entry: Long() on strength, Short() on weakness. On spot only the long branch can fire.

1. The rule

# BUY — futures DSL, direction chosen per entry if ChangePct >= 3 and Strength > 150: Long() elif ChangePct <= -3 and Strength < 70: Short()# SELL — one exit block covers either side if ProfitPct >= 2 or ProfitPct <= -1 or HoldTime >= 3600: Sell() Strength here is the 30-minute rolling trade strength — cumulative buy volume over cumulative sell volume times 100, capped at 500. It is the same number live and in a backtest, which is the only reason a threshold like 150 means anything across runs.

2. Why both directions

On spot you can only be long, so the short branch never fires and the strategy quietly becomes long-only. On perpetual futures both branches are live. This matters because a momentum rule that only works long is not a momentum rule. It is a bull market rule, and you will not know which one you have until you run it in both directions. Note the asymmetry in the thresholds: 150 for longs, 70 for shorts. Both ask for agreement from the tape, not just a price move — a 3% drop with Strength still at 140 is buyers absorbing a flush, which is the opposite of what a short wants.

3. When it fails

Momentum entries fail in a chop. The three percent threshold triggers, the move reverses, and the position is closed on the time exit. Nothing here measures whether the market is trending or ranging, and that check belongs in front of the entry rather than inside it — see crypto market regime filter to put in front of any entry.

4. What to change first

The hold cap. HoldTime >= 3600 is one hour, and crypto moves that begin as momentum often keep going for much longer, so the cap is closing your winners as well as your losers. Try 7200 and compare the distribution of exits. If most trades are then closed by target or stop rather than by time, the original cap was doing the deciding. Be aware that a longer hold on perpetuals means you are taking a funding position as well as a directional one.

5. What the round trip asks of it

Bitcoin is the cheap end of everything on this site. At a measured round trip of about 0.10% on liquid pairs, the 2.0% target against a 1.0% stop moves from a 33% break-even to just 37% — four points. The same structure on a US small cap costs twenty-five (the real cost of crypto trading). That is the real reason a long/short momentum rule is more workable on BTC than on equities. It is not that the signal is better. It is that you are allowed to be wrong more often. What replaces execution cost as the constraint is funding. A one-hour cap pays almost nothing, but each hour you add to HoldTime is an hour of funding on a position that may already be on the crowded side.