Market Universe
How a Turtle-style system thinks about market selection, liquidity, correlation and modern crypto market constraints.
A trend-following system needs opportunities across markets. If the market universe is too narrow, the trader may wait through long periods with few meaningful trends. If it is too broad, the system may include illiquid or unreliable instruments.
Selection principles
Useful markets usually have:
- enough liquidity for realistic entries and exits;
- consistent historical data;
- reasonable trading costs;
- a price structure that can trend;
- clear rules for contract changes, funding, settlement or delisting.
Correlation matters
Ten positions are not ten independent risks if they all respond to the same driver. In crypto markets, many altcoins can move like leveraged versions of Bitcoin or Ethereum during stress. A portfolio can look diversified by symbol while remaining concentrated by risk factor.
Exclusion rules
Markets can be excluded for low volume, extreme spreads, unreliable data, frequent abnormal wicks, exchange limitations or unclear execution rules. Exclusion is not a prediction. It is a risk-control decision.