01 — Research note
Crypto Futures.
A composite technical index on top-15 crypto perpetual futures, tested with 180-day walk-forward backtests and separate paper trading on TradingView.
Research question
The note tests whether a stack of standard technical indicators, combined into a single score on [0, 1], supports systematic entries and exits on large-cap crypto futures in a walk-forward backtest, and how that signal behaves under live paper trading with the same rules.
02 — Method
Method and data
- KAMA
- VWAP
- MFI
- Williams VIX Fix
- ADX
- Rolling z-scores
- Bayesian optimiser
- Weighted linear model
- Sigmoid
- Index [0, 1]
01
Indicators
02
Rolling z-scores
03
Bayesian optimiser
04
Weighted linear model
05
Sigmoid
06
Index [0, 1]
Universe: coins from the top 15 by market cap. Indicators: Kaufman adaptive moving average (KAMA), volume-weighted average price (VWAP), money flow index (MFI), Williams VIX Fix, and average directional index (ADX). Each is normalised as a rolling z-score, then passed through a Bayesian optimiser, a weighted linear model, and a sigmoid to produce an index on [0, 1].
Evaluation uses walk-forward training and testing with a 180-day window. Position sizing uses ATR-based stops, Kelly-style risk budgeting from past trade returns, and an ATR trailing stop. Paper trading routes the same index through TradingView with diversified positions.
03 — Results
Backtest and paper-trading results
Walk-forward backtest (costs not included): P&L −$5.70, return −0.7125%, Sharpe −0.3225, average drawdown 0.45%.
Paper trading (documented separately from the backtest): starting balance $100,000, balance $125,423.83 (+25.4%), maximum drawdown 6.1%.
Backtest · Paper trading
Return, backtest against paper trading
−0.7125%−0.7125%
Walk-forward backtest
Backtest
+25.4%+25.4%
TradingView paper account
Paper trading
% · Walk-forward, 180-day window, about July 2025 to January 2026. Paper-trading dates are not stated.Crypto Futures research note. Back testing metrics and forward testing metrics. Separate tests.
| Series | Kind | Value |
|---|---|---|
| Walk-forward backtest | Backtest | −0.7125% |
| TradingView paper account | Paper trading | +25.4% |
Backtest · Paper trading
Drawdown, by the measure each test prints
0.45%0.45%
Average drawdown
Backtest
6.1%6.1%
Maximum drawdown
Paper trading
% · Same tests as the return chart. The measures are not the same.Crypto Futures research note. Average drawdown on the backtest. Maximum drawdown on the paper account.
| Series | Kind | Value |
|---|---|---|
| Average drawdown | Backtest | 0.45% |
| Maximum drawdown | Paper trading | 6.1% |
Paper trading
Paper account, start and end
The two balances printed for the TradingView paper account. This is not a path.
Start
100,000
End
125,423.83
USD · Paper trading on TradingViewCrypto Futures, forward testing metrics. P&L +25,423.83, return +25.4%, maximum drawdown 6.1%.
| Start | 100,000 |
| End | 125,423.83 |
- Backtest
- −$5.70
- Backtest profit and loss
- Backtest
- −0.3225
- Backtest Sharpe
- Paper trading
- +$25,423.83
- Paper-trading profit and loss
Scope and limits
The backtest and paper account are reported on different horizons and assumptions; costs are not included in the backtest figures printed here.
The note records follow-on ideas: monitoring geopolitical events, stress indicators around single coins, and a measure of global-affairs stability.