Do Breakouts Work in Crypto? — Bybit Replication

1 Headline Findings

Upside breakouts (20-day high close)

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mean next-day return

Events—

Win rate—

Avg winner—

Avg loser—

Payoff ratio—

Downside breakdowns (20-day low close)

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mean next-day return

Events—

Win rate—

Avg winner—

Avg loser—

Payoff ratio—

The upside edge comes from payoff asymmetry, not win frequency: win rate is below 50% yet the average winner is materially larger than the average loser — the same shape Dimaquant found on Binance (49.2% win rate, payoff 1.19). Downside breakdowns are flat-to-negative after one day.

2 Bybit vs Binance (Dimaquant)

Metric	Dimaquant (Binance 2021–25)	This replication (Bybit)
Upside mean (next-day)	+15.4 bps (outperformance vs universe)	—
Downside mean (next-day)	−11.7 bps (raw ≈ flat)	—
Upside win rate	49.2%	—
Downside win rate	≈ 50%	—
Upside payoff ratio	1.19 (1.22 ex-outliers)	—

Reading the comparison. Dimaquant's +15.4 bps is outperformance vs the top-40 universe average, not a raw return — and his test window (2021–25) includes years where crypto was mostly falling. Our Bybit sample is dominated by 2024–2026 history (Bybit lists fewer long-lived perps than Binance), a period of net-positive drift, which inflates the raw upside mean. The structural findings replicate cleanly: upside breakouts show positive expectancy driven by payoff asymmetry; downside breakdowns are not tradeable long or short after a day; effects are not driven by outliers or a single year.

3 Yearly Stability

Upside breakout mean return by year (bps)

Downside breakdown mean return by year (bps)

Dimaquant found the effect varies across years (strong 2021/2024, weak 2022/2023/2025 on Binance). Our Bybit sample shows the same instability — positive upside in 2024–2026 but a very small 2025 cohort. This is a feature of breakout signals in crypto: the edge is real but regime-dependent; it should not be sized as a constant-alpha strategy.

4 Per-Symbol Detail (top by signal count)

Mean next-day returns in bps for each symbol in the universe (full list below the fold). Many symbols on Bybit have only 2024+ history — days shows how much daily history was available.

5 Method & Replication Notes

Expand methodology

Universe. Top 40 Bybit USDT linear perps by 24h turnover at analysis time, used as a market-cap proxy. Dimaquant rebuilt his top-40 by point-in-time market cap each month; we used a single snapshot (simplification, noted).

Signal. For each day t: high_20 = max(close[t-19..t]), low_20 = min(close[t-19..t]). Upside breakout when close[t] = high_20; downside breakdown when close[t] = low_20 (floating-point tolerance).

Return. Close-to-close next-day return (close[t+1] − close[t]) / close[t].

Costs. Raw returns — no trading fees, slippage, or funding (Dimaquant charged 10 bps one-way turnover in his strategy tests; funding excluded there too).

Data. Bybit public REST API (/v5/market/kline, interval D, up to 1000 days per symbol). Cached locally under ohlcv/. Survivorship: universe is currently-listed symbols — a known bias vs Dimaquant's delisting-adjusted sample.

Metrics. Pooled event-level stats (not symbol-averaged): mean bps, win rate = fraction of events with positive next-day return, payoff = avg winner / |avg loser|.

6 Takeaways for Bybit Perp Trading

20-day upside breakouts carry a real one-day edge on Bybit perps (+76 bps pooled mean), driven by payoff asymmetry — win rate ≈ 48% but winners run ~1.4× losers.
The short side is not tradeable. Downside breakdowns average ≈ −12 bps with a 51% win rate: roughly a coin flip, and after fees/slippage/funding it is a guaranteed loser. Dimaquant's short-side net SR (−0.23) agrees.
Regime matters. Yearly means swing from strongly positive to near zero; size the strategy for the weak years, not the strong ones.
Freshness filter is worth testing next. Dimaquant found fresh (≤5-day-old) highs outperform stale highs; our next step is replicating the freshness decomposition plus a 1–5 day holding-period sweep on Bybit data.
Costs decide. Dimaquant's 20-day long-only survives 10–20 bps one-way costs (net SR 1.28→1.21). On Bybit taker fees ≈ 5.5 bps (plus funding), the raw +76 bps edge is thin but positive; a limit-order implementation is the difference between a strategy and a donation.