Crypto Market Capital Flow Behavior Analysis and MACD Trend Strategy Backtesting Report

Market Overview

In the past two weeks, the crypto market has maintained a high-level consolidation pattern overall. After reaching a historic high, BTC lacks further momentum and is stuck in a range-bound adjustment, with both volume and volatility showing a converging trend. However, the bottom support remains stable, and the structure has not been damaged. ETH, on the other hand, has shown steady performance, moving upward along the moving averages and approaching 4,000 USDT, demonstrating relatively strong performance. In terms of volatility, BTC's rhythm is stable; ETH's volatility has significantly increased, reflecting a divergence of capital and a rise in exploratory sentiment. Overall, although short-term momentum in the market has slowed, the structure of mainstream assets remains healthy, and the continuous ecological development and capital participation provide ongoing support for the market. If there is a combination of volume and price in the future, a new round of trend selection is expected.

Long and Short Trading Scale Ratio Analysis

The BTC long-short trading volume ratio has shown a general downward trend, dipping below 1 multiple times, and even falling below 0.90 on July 28, reflecting a weakening willingness to chase prices at high levels, with short-term funds becoming more conservative. The ETH long-short ratio, on the other hand, has exhibited a decoupling characteristic from price trends, consistently maintaining around 0.95 and even briefly dropping below 0.90, indicating that market fund operations are relatively cautious and there may be doubts about the sustainability of ETH's rise. Overall, while BTC and ETH maintain high price levels, both long-short ratios have weakened, showing an increase in market sentiment divergence and a more cautious fund layout.

Contract Position Amount Analysis

The positions of BTC and ETH contracts have overall maintained high-level fluctuations, indicating that after actively entering the market in the early stage, the leveraged funds are now in a wait-and-see or high-level game state in the short term. The growth rate of ETH contract positions has significantly outpaced BTC in mid to late July, reflecting a more positive willingness of the market to leverage bets on ETH's subsequent trends. Overall, both BTC and ETH leveraged funds are operating actively at high levels, and the market's risk appetite remains in a recovery trend.

Funding Rate Analysis

In the past two weeks, the funding rates of BTC and ETH have fluctuated slightly around the zero axis, indicating a stalemate between bullish and bearish forces in the market. Investors' willingness to chase prices is limited, and leveraged funds have not yet entered on a large scale. The funding rate of ETH briefly turned negative multiple times during this period but quickly recovered, not triggering large-scale liquidations or price reversals, showing that the market's overall resilience is good. Overall, while the current funding situation has not significantly provided support, it also has not constituted substantial pressure.

Contract Liquidation Analysis

In the past two weeks, the overall structure of contract liquidations in the crypto market has maintained a balance of tension, without any systemic crashes or concentrated liquidations. However, during the phase of fluctuations, there have still been localized liquidations. On the long position side, the liquidation amount on July 23 reached as high as 630 million USD, marking the peak of this phase, indicating that high-level chasing funds encountered reverse liquidations during the fluctuation washout. The liquidations of short positions were relatively mild, occurring only on July 18 when the market surged upward, leading to concentrated stop-loss liquidations. Overall, the current liquidation structure of contracts does not show systemic imbalance, indicating that the market maintains healthy capital flow and holding tension during the consolidation at high levels.

MACD Trend Strategy Backtest

Strategy Overview

This strategy is based on the MACD technical indicator, combined with momentum reversal signals and risk control mechanisms, to execute trend-following trading operations. When the MACD indicator generates a golden cross, it triggers a buy signal, and controls risk through fixed take-profit and stop-loss methods, achieving disciplined entry and exit.

core parameter settings

• macd_fast: 8 to 15 (step size of 2)
• macd_slow: 20 to 31 (step size of 2)
• macd_signal: 5 to 13 (step size of 2)
• stop_loss_percent: 1% to 2% (step size of 0.5%)
• take_profit_percent: 10% to 16% (step of 5%)

strategy logic and operational mechanism

Entry Conditions:

• In a no position state, the MACD shows a golden cross, triggering a buy signal.

Entry Conditions:

• MACD Reversal: MACD Death Cross, triggering a closing signal.
• Stop loss closing: The price falls back to the buying price * (1 - stop_loss_percent), triggering a forced stop loss.
• Take profit exit: When the price rises to the buy price * ( + take_profit_percent), it triggers the take profit exit.

Backtest Result Analysis

The backtesting period is from May 2024 to July 2025, and the strategy is applied to the top ten mainstream encryption assets by market capitalization. Overall, the strategy's cumulative return performance outperforms the Buy and Hold strategy of BTC and ETH, demonstrating clear momentum tracking ability and good risk control effectiveness.

The performance of the SUI and TRX strategy return curves is the most impressive, with an overall trend continuously rising, and the cumulative returns exceeding 100%. Among them, the SUI strategy is the best performer in the long term, steadily climbing since October 2024, reaching a strategy peak in mid-2025, with cumulative returns ranking first among all cryptocurrencies.

In contrast, the Buy and Hold strategy showed significant volatility during the same period, especially with ETH experiencing a peak drawdown of over 50%. The MACD strategy, through clearly defined entry and exit mechanisms, can exit in a timely manner during a sideways market and effectively defend against market pullbacks, achieving steady accumulation.

Strategy Summary

The MACD trend strategy achieves a good balance between profitability, drawdown control, and capital utilization efficiency, making it particularly suitable for market structures with medium to high volatility and unclear trends. Although the win rate of most cryptocurrency strategies in backtesting may not exceed 50%, the strategy has achieved continuous profit accumulation by controlling losses and extending gains through clear entry and exit discipline and asymmetric profit-loss structures. In the future, it can further introduce volume confirmation, moving average filtering, or multi-period signal resonance mechanisms to improve signal accuracy and expand into a multi-factor, multi-asset quantitative strategy framework, continuously enhancing the strategy's adaptability and scalability.

Summary

From July 15 to July 28, 2025, the crypto market overall maintained a structurally bullish pattern, with mainstream assets oscillating and consolidating at high levels. The technical structure and fundamentals remain relatively healthy. However, looking at key indicators such as long-short ratio, funding rates, and liquidation structure, short-term market sentiment tends to be cautious, with a conservative pace of capital entry and leverage momentum not yet fully released.

The subsequent market trends will highly depend on the further evolution of the capital situation and trading structure, especially factors such as trading volume coordination, the recovery of funding rates, and position stability, which may create catalytic conditions for trend continuation. At this critical juncture where the current structure leans bullish but divergences are heating up, short-term strategies should pay more attention to rhythm control and risk management, flexibly combining trend tools and position management to steadily seek out certain opportunities in complex market conditions.

The trend-based strategy based on MACD golden cross entry and fixed profit and loss exit shows good medium- to short-term trading advantages. Backtesting results indicate that the strategy performs well on mainstream coins such as SUI and TRX, with cumulative returns exceeding 150%, and overall drawdown is well controlled. Although the win rate is generally below 50%, it can still achieve stable positive returns due to the asymmetric profit and loss structure and strict stop-loss mechanism, demonstrating its robustness in high-volatility markets. In the future, if it can further incorporate quantitative factors such as trading volume, trend strength, or multi-cycle resonance, and introduce more flexible risk control mechanisms, it is expected to continuously enhance its adaptability and scalability in complex market structures.