Phase B: futures hedge
Phase B: Futures Short Altcoin Hedge
Section titled “Phase B: Futures Short Altcoin Hedge”Date: 2026-04-22 Goal: Building on Phase A (BTC handled by DCA, trend strategy only runs altcoins ETH/BNB/SOL), introduce futures long+short to hedge LUNA-grade bear risk with short positions.
Strategy design
Section titled “Strategy design”HonestTrendFutures (extends HonestTrendGeneric)
Section titled “HonestTrendFutures (extends HonestTrendGeneric)”can_short = Truestoploss = -0.08 # Futures must have hard stoploss (spot can use -0.99)FNG_SHORT_BLOCK = 70 # Block shorts when FnG > 70 (never short euphoria)leverage = 1.0 # 1x, zero liquidation riskShort signals (mirror long):
crossed_below(ema_fast, ema_slow)minus_di > plus_diadx > thresholdvolume > volume_smafng < FNG_SHORT_BLOCK (70)— critical filter, avoids short squeezes in bull markets
Short exit:
crossed_above(ema_fast, ema_slow)
Parameter inheritance (from HonestTrendGeneric)
Section titled “Parameter inheritance (from HonestTrendGeneric)”EMA / ADX / min_hold / pyramid all inherited from the base class — same parameter set runs long+short (proven robust enough via WF validation).
Backtest results
Section titled “Backtest results”Full history (2020-09-14 → 2026-04-21, 5.6 years)
Section titled “Full history (2020-09-14 → 2026-04-21, 5.6 years)”| Metric | A5 spot long-only | Futures L+S | Δ |
|---|---|---|---|
| Trades | 559 | 901 (508L + 393S) | +342 |
| Profit | +166% | +157% | −9 ppt |
| Long profit | — | +107% | — |
| Short profit | — | +50% | — |
| Max DD | 14.77% | 7.84% | −6.93 |
| Calmar | 9.45 | 18.72 | doubled |
| Sortino | 1.66 | 2.56 | +0.9 |
8-Regime Walk-Forward
Section titled “8-Regime Walk-Forward”| Window | A5 Spot | Futures L+S | Δ |
|---|---|---|---|
| W1 2018 crash | +12.31% | n/a (no futures) | — |
| W2 2019 accum | +10.38% | n/a | — |
| W3 2020 COVID | +14.94% | +9.91% | −5.0 |
| W4 2021 bull | +143.30% | +91.20% | −52.1 |
| W5 2022 LUNA | −16.93% | +47.62% | +64.6 |
| W6 2023 recovery | +18.27% | +18.71% | +0.4 |
| W7 2024 ETF | +23.79% | +17.15% | −6.6 |
| W8 2025 present | −1.23% | −6.43% | −5.2 |
Key finding: in 5/6 “normal” windows, shorts are a slight drag (funding cost + a few losing shorts); but in the 1/6 crisis window (2022 LUNA/FTX), shorts turned −17% into +48% — a +65 ppt single-window tail-risk hedge.
Insurance theory explanation
Section titled “Insurance theory explanation”Treat shorts as insurance with “~4 ppt annualized cost, 60+ ppt payout in bear markets”. The premium looks expensive, but black-swan events repay it 10× over. This is exactly the payoff profile tail-risk hedging should have.
Deployment
Section titled “Deployment”Created
Section titled “Created”| File | Description |
|---|---|
strategies/HonestTrendFutures.py | L+S strategy class |
configs/backtest/config_backtest_15m_futures_a5.json | Backtest config |
configs/config_dryrun_honestfutures15m.json | dry-run config, port 8084 |
scripts/start_honest_trend.sh | Added futures and all modes |
Startup
Section titled “Startup”./scripts/start_honest_trend.sh futures # start alone./scripts/start_honest_trend.sh all # run alongside dryrun + mtfPort allocation
Section titled “Port allocation”- 8082 — HonestTrend15m (spot long-only, A5 alts)
- 8083 — HonestTrend1mMTF (spot 1m long-only)
- 8084 — HonestTrendFutures (futures L+S)
- 8081 — live bot (1m, BTC+ETH+BNB, old — not yet switched to A5)
Telegram
Section titled “Telegram”Enabled (injected via FREQTRADE__TELEGRAM__TOKEN env var) — will receive notifications from HonestTrendFutures-DRYRUN in the same chat.
Observation checklist (dry-run 1-2 weeks)
Section titled “Observation checklist (dry-run 1-2 weeks)”- Funding rate real cost matches backtest (~4 ppt annualized)
- Short entries trigger in bear markets (FnG filter works correctly)
- Stoploss -8% is not frequently pierced by wicks/gaps
- 1x leverage truly has no liquidation risk
- Pyramid rules behave correctly on the short side
- Drawdown stays in the backtest 7.84% ballpark
Future: Phase B+
Section titled “Future: Phase B+”B+1. Leverage 2x (pending validation)
Section titled “B+1. Leverage 2x (pending validation)”- DD 7.84% leaves 10+ ppt headroom to 20% kill-switch
- Theoretically 2x doubles profit
- But liquidation risk enters: a 20% wick with 2x leverage = liquidation
- Recommendation: after dry-run stable, backtest 2x first, walk-forward confirm W5 LUNA doesn’t liquidate
B+2. Strengthen shorts when FnG < 30
Section titled “B+2. Strengthen shorts when FnG < 30”- Currently shorts allowed when FnG < 70, no distinction between 30 vs 60
- Could try: stake × 1.5 when FnG < 30 (panic-bottom short size-up)
- Risk: getting crushed on V-shaped reversals
B+3. Funding rate filter
Section titled “B+3. Funding rate filter”- Currently doesn’t check funding rate
- Extremely high negative funding (shorts get extra penalized) should avoid opening shorts
- Could query last 8h funding in
confirm_trade_entryand reject order if > threshold
Not doing
Section titled “Not doing”- No XRP/DOGE in altcoin futures pool (backtests already showed these amplify DD in spot)
- No BTC in futures pool (BTC uses DCA, keep them separate)
- No leverage above 2x (1x→2x already doubles risk, 3x+ is gambling)
Rollback path
Section titled “Rollback path”If dry-run 2 weeks performs worse than backtest expectations (DD > 12% or short profit negative):
- Stop futures bot:
pkill -f HonestTrendFutures(emergency_stop.sh also takes it down) - Keep running A5 spot long-only (no short insurance)
- Record failure reason, update the “failed experiments” section of this doc
Key lessons (pending dry-run validation)
Section titled “Key lessons (pending dry-run validation)”- Shorts don’t earn in normal times, they save lives in crises: drag in 5/6 windows, lifesaver in 1/6
- 1x leverage is the “safest” futures starting point: no liquidation, pure directional alpha
- FnG filter is critical: allowing shorts at bull-top will get you squeezed beyond belief
- Funding is a hidden tax: 4-10% annualized, most painful in ranging markets