Crypto Multi-Factor Strategy: LSRATIO & TAKER
Two crypto factors — LSRATIO (top-trader long/short position ratio) and TAKER (active taker buy/sell ratio): signal principles and a 6-year backtest comparison, return-to-drawdown ratio 21.65 → 27.92 (+29%).
Source of returns and backtest comparison for two crypto factors. Report date: April 28, 2026.
I. LSRATIO (Top-Trader Long/Short Position Ratio)
LSRATIO is a technical indicator developed by the author, reflecting the ratio of long to short positions in the overall portfolio. Key components:
top_position_ratio: top-trader long/short position ratio = long positions / short positions.top_account_ratio: top-trader account long/short ratio = number of long accounts / number of short accounts.- Calculation frequency: every hour, covering September 2020 to present — 38 instruments × 1.04 million rows.
Signal principle — overcrowding reversal: when the market is extremely concentrated in one direction (ratio > 2), prices have often already been driven to extremes and the probability of a reversal begins to rise. Extreme bullish congestion indicates a lack of new buying interest, leading to profit-taking and triggering a reversal.
Strategy contribution:
- Weighted layer (negative z-score): +1.61
- Filter layer (4-hour smoothing; ratio > 2.0 triggers long, < 0.5 triggers short): +1.23
II. TAKER (Active Buy/Sell Ratio)
TAKER reflects the balance of active buying and selling forces in the market:
taker_ratio= buy / (buy + sell); a value > 0.5 indicates that active buying dominates.- Frequency: every hour, covering September 2020 to present — 38 instruments × 1.14 million rows.
Signal principle — confirmation of uptrend momentum: TAKER is a bullish signal; strong active buying indicates that market participants are aggressively committing real money. The TAKER indicator alone can significantly increase the win rate by +0.62.
III. Backtesting Comparison Results
Backtesting period: January 1, 2020 – December 5, 2025 (approximately 6 years). Asset class: POOL1 (20 major cryptocurrencies). Initial capital: 1,000,000 USDT.
| Performance | BASELINE | BASELINE + LSRATIO/TAKER | Δ |
|---|---|---|---|
| Return rate | 609.67% | 720.88% | +111.21 pp |
| Annual growth rate | 68.18% | 80.62% | +12.44 pp |
| Sharpe ratio | 1.74 | 1.86 | +0.12 |
| Max drawdown | -15.57% | -16.12% | -0.55 pp |
| Return/drawdown ratio | 21.65 | 27.92 | +29.0% |
| 6-year-end capital | ~7,100,000 | ~8,200,000 | +1,100,000 |
| Number of transactions | 23,478 | ~20,500 | -2,978 |
Conclusion
By introducing the two factors LSRATIO and TAKER, the strategy’s return-to-drawdown ratio rose from 21.65 to 27.92 (+29%), generating an additional 1.1 million USDT in backtest returns over six years.
Backtest results are based on historical data and fixed fee/slippage assumptions and do not constitute investment advice.