How to Backtest Crypto Strategies by Market Regime (With Real Data) Your backtest says Sharpe 2.0. You deploy. It immediately starts losing money. Sound familiar? The problem isn't your strategy. It's your backtest. Specifically: it averaged across multiple market regimes, hiding where your edge actually lives. The Regime Selection Bias Problem A strategy that returns 40% in bull markets and -20% in bear markets will show a healthy positive backtest if your sample is 60% bull. Deploy it into a bear market and it looks like the signal "decayed." It didn't decay. You were never testing what you thought you were testing. Here's what regime-split backtesting reveals: Strategy Bull Sharpe Bear Sharpe Chop Sharpe Aggregate Sharpe SMA 50/200 2.4 -0.3 0.1 1.1 Mean Reversion 0.4 1.8 1.2 1.0 Momentum 3.1 -1.2 -0.5 0.9 The aggregate Sharpe looks similar across strategies.…