Crypto strategy showed Sharpe of 13.4 until trading costs turned it deeply negative

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A developer testing a cross-sectional reversal strategy on crypto perpetuals data initially recorded an impressive Sharpe ratio of 13.44, with positive returns across 67 of 76 out-of-sample windows. However, once realistic transaction costs of just 10 basis points per side were applied, the Sharpe ratio collapsed to -40.13 and every single positive window turned negative. The strategy rebalanced a full portfolio every 15 minutes, meaning high turnover rapidly eroded any apparent edge. The test used 15-minute price bars from Bybit USDT perpetuals spanning January 2021 to September 2025, covering 451 symbols across 76 non-overlapping evaluation periods. The author cautioned that the result is a development diagnostic only, not evidence of a tradeable strategy, and noted that survivorship bias in the data universe has not been fully eliminated.

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