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Coinbase VWAP Momentum

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This strategy trades Kalshi’s 15‑minute Bitcoin market, checking conditions every 30 seconds. It buys “yes” when Bitcoin’s five‑minute price change exceeds 0.05% and spot is above the one‑hour VWAP, or buys “no” when the change drops below −0.05% and spot is below VWAP, entering only while the contract price is between $0.25 and $0.75, the spread is at most $0.02, and there is no current position. Each entry adds 2 contracts, with total holdings capped at 12, and it closes all trades if the contract price leaves that band or if unrealized profit reaches $1.00.

Kalshi·May 14 to Jun 11·Created 5d ago

Net P&L

+$471

Return +3920.9% on risk capital

Sharpe

1.61

Return Sharpe

Win rate

71.1%

2694 trades

Max drawdown

-$11

Peak to trough

A few notes on these numbers

Methodology: Backtests replay supported historical market data, usually a 30-day Studio window, and evaluate strategy rules on the available cadence. Signals can fill no earlier than the next tradable step. Taker fills use top-of-book prices or available L2 depth, with Kalshi-style fees where modeled. Queue position, latency, and future liquidity are not fully modeled. Simulated P&L is net of modeled fees over the window.
Starting capital: Kalshi backtests use the strategy's configured max position as the risk-capital denominator. Return is computed from that configured capital, while total P&L is still shown in dollars.
Past performance: Backtested results are hypothetical. They are derived from historical data and do not reflect live execution risks like slippage beyond the orderbook, partial fills, API latency, or venue outages. Past performance does not guarantee future results.
Not financial advice: Nothing on this page is investment, legal, or tax advice. Prediction markets carry real risk of loss. Only trade with money you can afford to lose, and do your own research before deploying any strategy live.