PARTIAL · slow rotation
Hypothesis
The ETH/BTC ratio trends in multi-week regimes; rotating between ETH and BTC by the ratio’s momentum beats holding either.
Math
$$ \text{signal}_t = \mathrm{sign}\big(\text{EMA}_{\text{fast}}(\rho) - \text{EMA}_{\text{slow}}(\rho)\big),\ \ \rho=\tfrac{P^{ETH}}{P^{BTC}} $$
Method
Dual-EMA crossover on ETH/BTC, rotate the held leg, weekly rebalance, costs applied; 2019–2026.
Results
| Vs 50/50 hold (risk-adj) | mild improvement |
| Whipsaw in ranging ratio | present |
| Edge concentration | a few big rotations |
A mild, real rotation edge whose entire P&L comes from a handful of large multi-week ratio trends; in ranging periods it bleeds to whipsaw. Works as a slow allocation tilt, not a trading strategy.
Pair-rotation edges are lumpy — a few regime moves make the year. Size for the drought between them, not the feast.