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BACKTESTING · SPOT-PERP FLOW FILTER

Spot-Perpetual Flow Filter Backtest in Crypto: Fees, Slippage and Break-Even Costs

A spot-perp filter requires spot buying to support a perp long. It aims to avoid moves driven only by leverage.

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

Short answer

A spot-perp flow filter compares spot and perpetual delta (or CVD change) over the signal window and allows longs only when spot delta is positive too. Moves led by perps alone are more often reversed. Testing it needs trade-level or taker-volume data for both markets on the same venue and timeframe. Compute break-even cost, compare with the unfiltered strategy, and check sample size.

Break-even cost

ItemValue (illustrative)
Trades95
Gross avg per trade+0.58%
Fees (2 × 0.05%)−0.10%
Slippage (2 × 0.04%)−0.08%
Net avg per trade+0.40%
Break-even round-trip cost0.58%
Spot-Perp Flow Filter: edge vs cost per trade (%)Spot-Perp Flow Filter: edge vs cost per trade (%): Gross edge 0.58 %; Fees 0.10 %; Fees + slippage 0.18 %.SPOT-PERP FLOW FILTER: EDGE VS COST PER TRADE (%)Gross edge0.58 %Fees0.10 %Fees + slippage0.18 %
Edge per trade versus cost per trade. Original ChartsPod editorial graphic.

Filter effect

VersionTradesNet avg (illustrative)
Unfiltered180+0.17%
Spot delta > 095+0.44%
Spot delta < 085−0.12%
Illustrative net avg (%)Illustrative net avg (%): Unfiltered +0.17 %; Spot confirms +0.44 %; Spot opposes -0.12 %.ILLUSTRATIVE NET AVG (%)Unfiltered+0.17 %Spot confirms+0.44 %Spot opposes-0.12 %
Spot participation mattered here. Original ChartsPod editorial graphic.

Conclusion

Related: Spot Flow During a Futures Squeeze in Crypto: What Price Response Adds to the Reading, CVD Divergence Backtest in Crypto: Fees, Slippage and Break-Even Costs.

Backtest the spot-perp flow filter rule with costs in ChartsPod.

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Compute break-even cost, compare with the unfiltered strategy, and check sample size.

Review Spot-Perpetual Flow Filter Backtest in Crypto with bar replay before using it live.

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Questions readers ask

What is a spot-perp flow filter?

Requiring spot delta to agree with a perp signal.

What data is needed?

Taker volume for both markets.

Why does it help?

Perp-only moves reverse more often.

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.