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BACKTESTING · RELATIVE-STRENGTH RANKING

Relative-Strength Ranking Backtest in Crypto: Fees, Slippage and Break-Even Costs

Ranking coins by strength relative to BTC selects those outperforming the market leader. The benchmark and look-back shape the ranking.

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

Short answer

A relative-strength ranking strategy scores each coin by its return relative to BTC (or a basket) over a look-back, holds the top-ranked and rebalances. Relative strength can stay high in a falling market (a coin falling less than BTC), so pair it with an absolute-trend filter if you only want longs in rising markets. Test the benchmark, look-back and filter, use point-in-time data and compute break-even cost including turnover.

Break-even cost

ItemValue (illustrative)
Trades200
Gross avg per trade+0.48%
Fees (2 × 0.10%)−0.20%
Slippage (2 × 0.07%)−0.14%
Net avg per trade+0.14%
Break-even round-trip cost0.48%
Relative-Strength Ranking: edge vs cost per trade (%)Relative-Strength Ranking: edge vs cost per trade (%): Gross edge 0.48 %; Fees 0.20 %; Fees + slippage 0.34 %.RELATIVE-STRENGTH RANKING: EDGE VS COST PER TRADE (%)Gross edge0.48 %Fees0.20 %Fees + slippage0.34 %
Edge per trade versus cost per trade. Original ChartsPod editorial graphic.

With and without absolute filter

VersionRebalancesNet CAGR (illustrative)
RS vs BTC only52+6%
RS + BTC above 200-day MA52 (cash in downtrends)+14%
RS vs basket52+8%
Illustrative net CAGR (%)Illustrative net CAGR (%): RS only 6 %; RS + filter 14 %; RS vs basket 8 %.ILLUSTRATIVE NET CAGR (%)RS only6 %RS + filter14 %RS vs basket8 %
Relative strength isn't absolute strength. Original ChartsPod editorial graphic.

Conclusion

Related: Momentum Rotation Backtest in Crypto: Fees, Slippage and Break-Even Costs, BTC Beta in Altcoin Positions: A Worked Crypto Example With Fees Included.

Backtest the relative-strength ranking rule with costs in ChartsPod.

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Test the benchmark, look-back and filter, use point-in-time data and compute break-even cost including turnover.

Compare Relative-Strength Ranking Backtest in Crypto across Binance, Bybit, OKX and Hyperliquid markets.

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Questions readers ask

What is relative strength?

Performance versus a benchmark.

Can RS be high in a falling market?

Yes, if a coin falls less.

Which benchmark?

BTC or a basket; test both.

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.