Crypto Assets Market Biweekly Report: ETH Strong Rebound, Moving Average Breakthrough Strategy Annual Percentage Rate 127%

Introduction

This quantitative bi-weekly report ( analyzes the market trends of Bitcoin and Ethereum from April 25 to May 12, ), comprehensively utilizing indicators such as long-short ratio, contract open interest, and funding rate. The quantitative section discusses the application of the "Moving Average Dense Breakthrough Strategy" in the ETH/USDT market, covering its logical framework and signal determination mechanism. Through systematic parameter optimization and backtesting, the strategy demonstrates robustness in trend identification and risk control, with clear execution discipline, overall outperforming the simple holding of ETH, providing a practical framework for quantitative trading.

Summary

• In the past two weeks, BTC and ETH have risen simultaneously, with BTC increasing by about 34% and ETH rising by over 60%.

• The long-short ratio of ETH is fluctuating significantly, indicating that the rise of ETH is accompanied by strong short-term trading and market speculation, and the bears have not clearly exited.

• The amount of BTC contract positions has increased relatively slowly, while ETH experienced a stronger rise in early May.

• The overall contract market saw shorts concentrated in liquidation at the beginning of May, and longs faced reverse liquidation on May 12, reflecting increased market divergence under high leverage.

• The quantitative analysis uses the "Dense Moving Average Breakthrough Strategy", achieving a return rate of up to 127% under optimal parameter selection.

Market Overview

1. Analysis of Price Volatility of Bitcoin and ETH

BTC and ETH have shown a steady upward trend since mid-April, maintaining a relatively consistent upward rhythm until early May. During this period, BTC rose from about 78,000 USDT to nearly 105,000 USDT, while ETH surged from around 1,600 USDT to about 2,600 USDT. It is evident that ETH's growth rate is significantly higher than that of BTC, demonstrating stronger price elasticity. Especially in early May, both experienced a jump in price simultaneously, possibly indicating that with the easing of tariff policies, BTC also embarked on a rebound. BTC has a higher price and smaller volatility, showing a relatively stable trend; whereas ETH has a larger increase and reacts more quickly. The market initially lacked bullish expectations for ETH, performing relatively poorly, but entering May, with the upcoming Pectra upgrade and the easing of tariff policies, ETH saw a substantial rebound. This round of unusual movements reflects the market's renewed focus on the allocation value of ETH in the short term.

In terms of volatility, BTC and ETH have shown significant changes in their overall fluctuation range from early April to mid-May. In mid-April, BTC's volatility frequently peaked, indicating an active market sentiment with sharp price adjustments; subsequently, by late April and early May, the overall volatility began to converge, reflecting a brief period of market stability. However, around the price surge, ETH's volatility experienced several sharp increases, even briefly surpassing BTC, indicating a stronger short-term fluctuation during its upward movement. Overall, BTC's volatility is relatively more uniform, while ETH's fluctuations are concentrated around several key moments, especially before and after price breakthroughs, suggesting it is more susceptible to fund-driven influences.

Overall, ETH has shown a greater price increase and a more concentrated volatility change in this market trend, demonstrating its strong price reaction capability at key moments; while BTC has displayed a relatively stable upward trend and a more dispersed volatility distribution, reflecting its relative stability in market fluctuations. Although both have jumped simultaneously during the price rise, their volatility characteristics and rhythms still exhibit significant differences, reflecting different market traits and dynamic structures. In terms of short-term operations, attention can be sustained on the capital flow and volatility changes of BTC, as important indicators of market risk appetite.

2. The long-short trading volume ratio of Bitcoin and Ethereum ( LSR ) analysis

The Long/Short Taker Size Ratio ( is a key indicator that measures the trading volume of long and short orders in the market, typically used to assess market sentiment and trend strength. When the LSR is greater than 1, it indicates that the volume of active buy orders ) for going long is greater than the volume of active sell orders ( for going short, suggesting that the market is more inclined to go long, with sentiment leaning bullish.

According to relevant data, in the past two weeks, both BTC and ETH prices have shown a significant upward trend. However, in terms of LSR, the two have exhibited varying degrees of divergence. BTC's LSR initially rose slightly at the beginning of the uptrend but has overall remained oscillating around 1, even briefly falling below 1 around May 10, indicating that even as prices continue to rise, the short trading volume in the market has also increased simultaneously. This reflects that some investors are choosing to position short or engage in hedging operations at high levels, and the market has not formed a clear unilateral bullish structure, leading to a certain level of skepticism regarding the upward trend.

In contrast, the long-short ratio of ETH fluctuates more violently. During the price breakout to 2,000 USDT and the rapid rise to 2,600 USDT, its LSR did not steadily climb, but instead experienced multiple violent oscillations, with a noticeable decline around May 10. This situation indicates that the rise of ETH is accompanied by strong short-term trading and market speculation, with bears not significantly retreating and market sentiment being quite divergent.

Despite the synchronous surge in BTC and ETH prices over the past two weeks, the long-to-short ratio has not seen a sustained increase. Instead, it reflects a general sentiment of wait-and-see and hedging in the market at high levels. Investor sentiment remains relatively cautious, and the structural support behind the price increase still needs further verification.

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) 3. Contract Position Amount Analysis

According to relevant data, the contract holding amount of BTC and ETH shows an overall upward trend, reflecting the continued heating of market trading activity. The open interest amount of BTC has gradually risen from about 60 billion USD, and although there have been fluctuations, it has generally maintained a high level and stabilized after early May. The open interest amount of ETH has increased from about 18 billion USD to nearly 24 billion USD, with a trend that is basically synchronized with BTC but relatively stable, especially showing a significant jump in early May, indicating that funds actively entered the market during this period.

Overall, the synchronized growth of the contract positions of both has confirmed each other with the price increase, indicating that both market participation and the degree of leverage used have risen. However, the capital inflow for BTC has stabilized after the end of April, while ETH showed a stronger rise in early May, suggesting that ETH has attracted more interest in contract trading in the short term.

4. Funding Rate

The funding rates for BTC and ETH have generally remained around 0%, with slight fluctuations and frequent switches between positive and negative, indicating a relatively balanced market between long and short forces. In mid to late April, BTC experienced multiple instances of negative funding rates, particularly around April 20, when it briefly dropped to -0.025%, suggesting that short positions were dominant at that time or there were large-scale short hedging activities. ETH exhibited a similar trend in the same period, but with slightly smaller fluctuations, indicating that although the market temporarily shifted towards bearish sentiment, it did not result in sustained pressure.

With the price increase and the increase in contract position amounts, both funding rates have gradually turned positive and remained between 0% and 0.01%, reflecting that the bulls are gradually gaining an advantage, and the market tends to actively build positions. However, overall, the funding rates have not continued to soar, indicating that while the sentiment for leveraged long positions has strengthened, it has not become overheated, and the market sentiment is still in a moderately optimistic phase.

5. Crypto Assets Contract Liquidation Chart

According to relevant data, since mid-April, the contract liquidation situation in the crypto assets market has shown an intermingled trend of long and short positions, with the amount of short position liquidations being particularly significant in early May. Especially on May 8, the liquidation amount of short positions surged dramatically, reaching a single-day scale of $836 million, indicating that the market price rose rapidly at that time, leading to a large number of short positions being forcibly closed.

On May 12, as market fluctuations intensified, the amount of long position liquidations significantly increased, reaching a daily scale of 476 million USD, indicating that some high-position buyers were unable to withstand the volatility and faced reverse liquidations. This phenomenon suggests that although the overall trend is bullish, there are still violent fluctuations in the short-term market, with shorts and longs alternating setbacks at critical points. The contract market remains highly active and concentrated in risk.

This trend resonates with the previously mentioned price increase, the rise in contract holdings, and the trend of positive funding rates, reflecting that when the market breaks through key price levels, a concentrated short squeeze occurs, creating a short-term advantage for bulls. However, even in an upward trend, long positions still face liquidation at local highs, especially when the market becomes increasingly volatile in mid-May, where long positions also face significant risks, indicating that market volatility remains strong, and the characteristics of high leverage and risk hedging in contract trading are still very apparent.

Quantitative Analysis - Moving Average Convergence Breakthrough Strategy

###Disclaimer: All predictions in this article are based on historical data and market trends, and are for reference only. They should not be viewed as investment advice or guarantees of future market trends. Investors should fully consider the risks and make cautious decisions when engaging in related investments.(

) 1. Strategy Overview

"The "Moving Average Convergence Breakout Strategy" is a momentum strategy that combines technical trend judgment. The strategy observes the convergence of multiple short and medium-term moving averages like the 5-day, 10-day, and 20-day averages during a specific period, identifying potential directional volatility in the market. When multiple moving averages trend in unison and converge, it usually indicates that the market is in a consolidation phase, awaiting a breakout. At this point, if the price clearly breaks upward through the moving average region, it is regarded as a bullish initiation signal; conversely, if the price breaks downward through the moving average band, it is considered a bearish signal.

In order to improve the practicality of the strategy and the effectiveness of risk control, this strategy also has a fixed proportion of take profit and stop loss mechanisms, ensuring timely entry and exit when trends appear, balancing rewards and risk control. The overall strategy is suitable for capturing short to medium-term trend markets and has a certain level of discipline and operability.

( 2. Core Parameter Settings

• percentage_threshold: moving average density judgment threshold
• tp_sl_ratio: Dynamic Take Profit and Stop Loss Ratio
• short_period: Short-term moving average period
• long_period: Long-term Moving Average Period

) 3. Strategy Logic and Operation Mechanism

Entry Conditions

• Moving Average Density Judgment: The difference between the maximum and minimum values of six moving averages, SMA20, SMA60, SMA120, EMA20, EMA60, and EMA120, is referred to as the moving average distance ###. When this distance is below a set threshold, for example, 1.5% of the price (, it is considered a dense moving average.

• Price Breakthrough Judgment:

  • When the current price breaks above the highest value among the six moving averages, it is considered a bullish breakout signal, triggering a buy operation.
  • When the current price breaks below the lowest value of the six moving averages, it is considered a bearish breakout signal, triggering a sell operation.

Exit conditions: dynamic take profit and stop loss mechanism

• Long position exit:

  • If the price falls below the lowest moving average at the time of opening, trigger the stop loss;
  • Or if the price rises above "opening price and the distance between the lowest moving average × profit and loss ratio", trigger take profit.

• Short position exit:

  • If the price rises above the highest moving average at the time of opening the position, trigger the stop loss;
  • Or if the price drops more than "the distance between the opening price and the highest moving average × the profit and loss ratio", trigger stop profit.

Practical Example Diagram

• Trading signal triggered

The chart below shows the ETH/USDT 2-hour candlestick chart at the most recent entry trigger on May 8, 2025. It can be seen that the price breaks upward after being highly concentrated around the six moving averages, meeting the entry conditions set by the strategy. The system executes a buy operation at the price of the breakout, successfully.