Unlock This Note

Holding ZEC over the same stretch returned more than 30x. This strategy returned under 2x. Here is why it is still worth a look. ZEC Taker Intensity Long-Only trades the ZEC perpetual. It goes long when Blave's Taker Intensity reads above 1.5 and closes when it drops below 0. It never shorts. From 2023-01-01 to 2026-11-06, with 0.1% per side for fees and slippage, the backtest returned +176.9% in total, about 30.3% a year, with a Sharpe of 2.03 and a max drawdown of −9.8%. It held a position on roughly 27% of days. What Does Taker Intensity Measure? Taker Intensity compares how aggressive market buyers and sellers are against their usual level. Above 0, buyers are pushing harder than normal. Below 0, sellers are. The scale has no bounds. Readings near 0 are ordinary, beyond ±2 are rare, and every coin sits on the same scale. This strategy uses a 24-hour window. A reading of 1.5 means buyers over the past day were clearly more aggressive than usual, short of extreme. The rule is checked every 5 minutes. Cross above 1.5 and it enters. Fall below 0 and it exits. Anywhere between, it keeps whatever it has, in the trade or out of it. There is no separate stop-loss. The indicator alone decides the exit, which is a deliberate choice and also a risk. How Big Is the Position? Size follows ZEC's realized volatility over the last 30 days, aiming for 30% annualized volatility and capped at 2x. When ZEC gets wild, the position shrinks. When it calms down, the position grows, up to 2x, and so do the losses. This keeps the curve smoother but means the strategy is constantly nudging its size. That cost shows up further down. Year by Year YearStrategy return 2023+5.4% 2024+26.8% 2025+42.4% 2026 (to Nov 6)+45.5% Over the full period: Sharpe 2.03, Sortino 2.99, max drawdown −9.8%. All four years finished positive, though 2023 made only 5.4% while the strategy mostly waited. These are backtest results, not a promise of future returns. Is the Backtest Honest? Costs. The backtest charges 0.1% per side including slippage, above a standard (VIP0) taker fee. Cheap fee assumptions did not prop up the result. Luck. A Monte Carlo permutation test with 1,000 runs gave p < 0.001. A result like this is hard to get by chance. Overfitting. We scanned a grid of entry and exit thresholds. The chosen pair scores a Sharpe of 2.03, and its 3×3 neighborhood averages 1.92, a ratio of 0.95. Move the thresholds a notch and the result holds up, so the parameters are not a lucky spike that fits only past data. Where It Falls Short The big one first. Buying ZEC and holding it returned about +3,310% over the same period. This strategy returned +176.9%. If you want the full upside of a ZEC run, look elsewhere. What it buys you is a −9.8% max drawdown and staying out of the market most of the time. Fees add up. All that resizing produced about 8,000 trades, and fees ate roughly 10.6% of return over the backtest. If your real slippage runs above 0.1%, expect that drag to grow. It is long-only. In a downtrend it sits in cash and earns nothing. With no stop-loss and up to 2x size, a reversal that moves faster than the indicator will hurt before the signal drops below 0 and lets it out. Who Should Use It? Use it if you want exposure to ZEC without riding every swing, and you are fine sitting in cash most days while catching only part of the big moves. Check your fills now and then to make sure real costs stay near the 0.1% the backtest assumes. Skip it if you want to hold ZEC long term or expect to profit in a falling market. Run It Without Watching It The logic is all here. The hard part is execution: reading the indicator every 5 minutes, resizing to volatility, placing orders, and catching errors around the clock. Hand that to Blave Agent. It installs the strategy on the desktop app or a cloud machine, runs it on paper first, and connects your exchange once you are ready. Pick the cloud machine if it needs to keep running with your computer off. The strategy reads Blave's Taker Intensity data, so it requires a Blave Agent plan. The strategy itself is priced at NT$1,600 at listing. See ZEC Taker Intensity Long-Only in the strategy library →