Correlation Break (ETH)
UnprofitableSame linear regression divergence approach as the BTC version, but uses ETH as the reference asset. Only takes short positions.
Deep Dive
This variant of the Correlation Break strategy uses Ethereum instead of Bitcoin as the reference asset, and restricts itself to short-only positions.
The thesis was that ETH-alt correlations might offer different (and possibly stronger) trading signals than BTC-alt correlations, since ETH moves within its own ecosystem dynamics (DeFi activity, gas fees, staking yields) that are distinct from BTC's macro-driven narrative.
In practice, while the strategy achieved a reasonable 54% win rate on ~2,000 trades, the average profit per winning trade was too small to overcome exchange fees and slippage. The ETH-alt correlation is looser than BTC-alt, meaning divergences are noisier and less reliable as reversion signals.
The short-only restriction further limited the edge — bullish divergences against ETH had more conviction, but the strategy's design missed those opportunities. This experiment validated that BTC is the superior reference asset for correlation-based trading in crypto markets.
Backtested on hourly OHLCV data across 65+ symbols from Jan 2020 to Mar 2025 — $10,000 initial balance — 0.1% commission — 0.05% slippage