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BACKTESTING · BETA-ADJUSTED MOMENTUM

Beta-Adjusted Momentum Backtest in Crypto: Fees, Slippage and Break-Even Costs

Ranking altcoins by raw momentum mostly selects high-beta coins in rallies. Adjusting for BTC beta isolates coin-specific strength.

By ChartsPod Editorial Team · Reviewed by ChartsPod Research
Published · Updated · 5 min read

Short answer

Beta-adjusted momentum ranks coins by return minus beta × BTC return over the look-back, i.e. excess return beyond what BTC explains. Raw momentum in a BTC rally favours high-beta coins that also fall hardest in reversals. Estimate beta on a separate window, rebalance on a schedule, include turnover costs, use a point-in-time universe and compare drawdowns with raw momentum.

Break-even cost

ItemValue (illustrative)
Trades200
Gross avg per trade+0.45%
Fees (2 × 0.10%)−0.20%
Slippage (2 × 0.07%)−0.14%
Net avg per trade+0.11%
Break-even round-trip cost0.45%
Beta-Adjusted Momentum: edge vs cost per trade (%)Beta-Adjusted Momentum: edge vs cost per trade (%): Gross edge 0.45 %; Fees 0.20 %; Fees + slippage 0.34 %.BETA-ADJUSTED MOMENTUM: EDGE VS COST PER TRADE (%)Gross edge0.45 %Fees0.20 %Fees + slippage0.34 %
Edge per trade versus cost per trade. Original ChartsPod editorial graphic.

Raw vs beta-adjusted

RankingNet CAGRMax DD (illustrative)
Raw momentum+18%−52%
Beta-adjusted+14%−34%
Beta-adjusted + BTC trend filter+16%−25%
Illustrative max drawdown (%)Illustrative max drawdown (%): Raw 52 %; Beta-adj. 34 %; Beta-adj. + filter 25 %.ILLUSTRATIVE MAX DRAWDOWN (%)Raw52 %Beta-adj.34 %Beta-adj. + filter25 %
Lower beta, lower drawdown. Original ChartsPod editorial graphic.

Conclusion

Related: Momentum Rotation Backtest in Crypto: Fees, Slippage and Break-Even Costs, Rolling Beta in Crypto: Why the Value Changes Before Candle Close.

Backtest the beta-adjusted momentum rule with costs in ChartsPod.

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Estimate beta on a separate window, rebalance on a schedule, include turnover costs, use a point-in-time universe and compare drawdowns with raw momentum.

See Beta-Adjusted Momentum Backtest in Crypto on live data in the free ChartsPod terminal.

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Questions readers ask

What is beta-adjusted momentum?

Return beyond what BTC beta explains.

Why adjust?

Raw momentum loads on high-beta coins.

How is beta estimated?

On a separate window.

Sources and methodology

Backtest cost logic follows TradingView's Pine Script strategy documentation; indicator definitions are standard. All performance numbers are illustrative examples of the method, not results of real tests.

  1. TradingView Pine Script: Strategies — simulated fills and assumptions.
  2. TradingView Pine Script: Repainting — live vs historical calculation.
  3. ChartsPod documentation — guides for order flow, derivatives, alerts, backtests, journal and workspaces.

This article explains research tools and workflows. It is not financial advice, does not recommend buying or selling any asset and does not predict prices. Crypto derivatives carry a risk of rapid and total loss of margin.

CHARTSPOD EDITORIAL EDITION · RESEARCH AND EDUCATION ONLY · NOT FINANCIAL ADVICE.