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CreditSpread+Funding
OPTIONSACTIVE1d candles, 14-day options expiry
+$3,607
+36.1% ROI
Sells credit spreads with trend, boosted by funding rate confirmation
Performance Metrics
Win Rate94.1%
Sharpe8.00
Max Drawdown$0.9k
Total Trades345.7/mo
Avg Win+$146
Avg Loss$-526
Total Fees$1249
ROI36.1%
How It Works — Plain English
This strategy sells insurance on crypto price movements. When the market is trending, we sell options that bet against the trend reversing — collecting premium upfront. If the market doesn't sharply reverse, we keep that premium as profit. Think of it like selling earthquake insurance in a region that rarely has earthquakes.
Advanced Implementation+ expand− collapse
Entry Conditions
- ▸ADX > 20 — confirms trending market (not choppy)
- ▸Historical volatility > 20% annualized — ensures enough premium to collect
- ▸EMA20 vs EMA50 determines trend direction
- ▸Uptrend → sell put spread 0.7 std devs below spot (bull put spread)
- ▸Downtrend → sell call spread above resistance (bear call spread)
- ▸Spread wing width: 3% of spot price
- ▸Funding rate confirmation → 1.5x position size when aligned with trend
Exit Conditions
- ▸Take profit: 50% of premium collected
- ▸Stop loss: 2x premium lost
- ▸Expiry reached → close at market
Position Sizing
contracts = floor((balance × 3%) / maxLoss) where maxLoss = spread width − premium collected. 1.5x size when funding rate confirms trend.
Data Sources
- OHLCV 1d — Binance Spot
- Funding Rate — Binance Futures (543 data points)
Key Parameters
- ▸ADX threshold: 20
- ▸HV threshold: 20% annualized
- ▸Wing width: 3% of spot
- ▸Funding boost threshold: positive/negative aligned with trend
- ▸TP: 50% premium, SL: 2x premium