Crypto Assets Market Biweekly Report: ETH Strong Rebound, Moving Average Breakthrough Strategy Annualized Return 127%

Introduction

This report analyzes the market performance of Bitcoin and Ethereum from April 25 to May 12, conducting a comprehensive analysis using indicators such as long-short ratio, contract open interest, and funding rates. The quantitative section explores the application of the "moving average cluster breakout strategy" in the ETH/USDT market, including strategy logic, parameter optimization, and performance evaluation.

Summary

• BTC and ETH are rising in sync, with BTC increasing by about 34% and ETH increasing by over 60%.
• The long-short ratio of ETH is highly volatile, reflecting intense market competition, and the bears have not significantly exited.
• BTC contract positions are growing slowly, while ETH experienced a strong rebound at the beginning of May.
• At the beginning of May, short sellers faced concentrated liquidations, and on May 12, long positions encountered reverse liquidations, indicating that market divergence has intensified under high leverage.
• The moving average dense breakthrough strategy achieves an annualized return of 127% under optimal parameters.

Market Overview

1. Bitcoin and ETH price fluctuation analysis

BTC and ETH have steadily risen since mid-April. BTC has increased from about 78,000 USDT to nearly 105,000 USDT, while ETH has surged from around 1,600 USDT to about 2,600 USDT. The increase in ETH is significantly higher than that of BTC, demonstrating stronger price elasticity. At the beginning of May, both jumped simultaneously, possibly influenced by the slowdown in tariff policies.

In terms of volatility, BTC experienced frequent peaks in mid-April, with volatility converging towards the end of April and early May. ETH saw multiple sharp increases in volatility around the price breakthrough, even surpassing BTC at one point. Overall, BTC's volatility is relatively average, while ETH's volatility is concentrated at several key moments.

2. Long and Short Trading Scale Ratio Analysis

The LSR of BTC remains oscillating around 1, briefly falling below 1 around May 10, reflecting that some investors choose to lay out short positions or hedge at high levels. The LSR of ETH fluctuates more violently, showing several intense oscillations during price breakthroughs, indicating clear divergence in market sentiment.

3. Contract Position Amount Analysis

The contract positions of BTC and ETH have increased overall. BTC has gradually risen from about 60 billion USD, while ETH has risen from about 18 billion USD to nearly 24 billion USD. ETH saw a noticeable jump in early May, indicating that funds are actively entering the market.

4. Funding Rate

The funding rates for BTC and ETH have fluctuated slightly around 0%. In mid to late April, there were several instances of turning negative, but they gradually turned positive and maintained between 0% and 0.01%, reflecting that the bulls are gradually gaining an advantage, although market sentiment remains moderately optimistic.

5. Contract Liquidation Analysis

On May 8, the amount of short positions liquidated surged to 836 million USD. On May 12, the amount of long positions that were liquidated significantly increased to 476 million USD. This reflects that the market saw concentrated liquidations of shorts when breaking through key price levels, but the long positions at high levels still face considerable risks.

Quantitative Analysis - Dense Moving Average Breakthrough Strategy

1. Strategy Overview

The "Convergence Breakthrough Strategy" judges the timing of potential directional fluctuations in the market by observing the convergence of multiple short and medium-term moving averages. When the price breaks through the moving average region, it is considered a bullish or bearish signal. The strategy has a take profit and stop loss mechanism, suitable for capturing medium to short-term trend markets.

2. Core Parameter Setting

• percentage_threshold: Moving Average Convergence Judgement Threshold
• tp_sl_ratio: Take Profit/Stop Loss Ratio
• short_period/long_period: short-term/long-term moving average period

3. Strategy Logic and Operation Mechanism

Entry Conditions:

• The density of moving averages is below the threshold
• Price breaks through the highest/lowest value of six moving averages

Entry conditions:

• Long position: Price breaks below the lowest moving average or reaches the take profit target
• Short position: Price breaks above the highest moving average or reaches the take profit target

4. Practical Application Examples

Parameter Backtest Settings:

• tp_sl_ratio:3 to 14( step 1)
• threshold: 1 to 19.9( step 0.1)

Optimal parameter combination:

• percentage_threshold = 1.4
• tp_sl_ratio = 10
• short_period = 6, long_period = 14

Backtest results:

• Annualized Return Rate: 127.59%
• Maximum Drawdown: below 15%
• ROMAD:8.61%

The strategy outperformed the ETH Buy and Hold strategy significantly by (-46.05%).

5. Summary of Trading Strategies

The moving average convergence breakthrough strategy has performed excellently in the ETH/USDT 2-hour level data, with an annualized return of 127.59%, far exceeding the ETH holding strategy during the same period. The best parameter combination is threshold 1.3-1.5, tp_sl_ratio 9-11. The strategy demonstrates good trend capturing and risk control capabilities, making it highly valuable for practical application.

Summary

From April 25 to May 12, the cryptocurrency market exhibited characteristics of "strong price upward movement, with sentiment remaining cautious." BTC and ETH rose simultaneously, with ETH showing a larger increase. The long-short ratio and funding rate were not significantly biased towards long positions, while contract positions continued to rise, reflecting an intensification of market divergence. The dense moving average breakout strategy performed excellently in the ETH/USDT market, but still needs to be combined with other quantitative factors and risk control mechanisms to enhance the strategy's stability and adaptability.