Mean reversion on futures with leverage. Uses funding rate as extreme sentiment signal.
Mean Reverter Futures applies the mean reversion principle with leverage on crypto perpetual contracts. When Bitcoin price excessively deviates from its moving average on futures, the strategy takes a contrarian position with 2-4x leverage, anticipating the return to the mean. Leverage amplifies the gain on the return, while stop-loss limits loss if the extreme move continues. Optimized for futures markets where excessive moves are amplified by other traders' leverage.
Calculates the z-score of futures price relative to its SMA 50. When z-score > 2.5 (price too high), 2-4x short futures. When z-score < -2.5 (price too low), 2-4x long futures. Stop-loss at z-score 3.5 (movement continues — quick exit). Take-profit on return to z-score 0 (the mean). Position size inversely proportional to leverage.
Z-score of futures price vs SMA 50. Bollinger Bands on futures. Funding rate (confirms excess: extreme funding = more likely to revert). Excess Open Interest (crowded positions). Capitulation volume (move exhaustion).
High
Leverage amplifies gains on mean reversion. Excesses are amplified on futures (therefore so are returns). Funding rate confirms crowded positions (better timing). Mean reversion win rate + leverage multiplier.
Leverage turns a failed mean reversion into a significant loss. The extreme move can continue (leverage + wrong direction = liquidation). Z-score on futures is more volatile than spot. Funding fees on the contrarian position.
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