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BACKTESTING · FUNDING-RATE FILTER

Funding-Rate Filter Backtest in Crypto: Fees, Slippage and Break-Even Costs

A funding filter blocks longs when funding is very positive (crowded longs) or shorts when it's very negative. It also changes holding costs.

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

Short answer

A funding-rate filter adds a condition to a base strategy, e.g. no new longs when funding is above a threshold. It can avoid crowded entries and reduces funding paid while holding. Test thresholds on settled funding with the venue's actual interval, include funding payments in P&L, and compare trade count and net result with the unfiltered strategy. Use funding known at signal time — not the settlement after.

Break-even cost

ItemValue (illustrative)
Trades140
Gross avg per trade+0.46%
Fees (2 × 0.05%)−0.10%
Slippage (2 × 0.03%)−0.06%
Net avg per trade+0.30%
Break-even round-trip cost0.46%
Funding-Rate Filter: edge vs cost per trade (%)Funding-Rate Filter: edge vs cost per trade (%): Gross edge 0.46 %; Fees 0.10 %; Fees + slippage 0.16 %.FUNDING-RATE FILTER: EDGE VS COST PER TRADE (%)Gross edge0.46 %Fees0.10 %Fees + slippage0.16 %
Edge per trade versus cost per trade. Original ChartsPod editorial graphic.

Filter effect

VersionTradesFunding paidNet avg (illustrative)
No filter210≈ $1,900+0.18%
Block longs if funding > 0.03%140≈ $800+0.31%
> 0.02%95≈ $450+0.29%
Illustrative funding paid ($)Illustrative funding paid ($): No filter 1,900 $; > 0.03% 800 $; > 0.02% 450 $.ILLUSTRATIVE FUNDING PAID ($)No filter$1,900> 0.03%$800> 0.02%$450
Filters also cut holding cost. Original ChartsPod editorial graphic.

Conclusion

Related: Binance Funding History: Null vs Zero - Handle Missing Fields Correctly, Open-Interest Confirmation Backtest in Crypto: Fees, Slippage and Break-Even Costs.

Backtest the funding-rate filter rule with costs in ChartsPod.

Open the ChartsPod terminal

Use funding known at signal time — not the settlement after.

Check Funding-Rate Filter Backtest in Crypto against a live market before relying on it.

Try it in ChartsPod

Questions readers ask

What does a funding filter do?

Blocks entries when funding shows crowding.

Which funding value?

The one known at signal time.

Should funding be in P&L?

Yes.

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.
  4. Binance: USD-M Futures market data API — trades, depth, funding and open interest.

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.