I spent almost 6 years trading crypto. Our best month's volume was $6B.

1. Nothing we tried with usual strategies worked consistently. Backtesting parameters, ML with smart feature selection, boosting, neural networks - everything failed out of sample. Maybe we were dumb, I don't know.

2. What worked was having a clear edge: - Private exchange programs with rebates for high-volume teams - Pure latency arbitrage - Weird arbitrage trading obscure instruments (e.g. on chain AMMs vs crypto exchange futures).

Both market maker and arbitrage strategies were very sensitive to latency. We built a low-latency trading engine in Java (on top of https://github.com/OpenHFT/Chronicle-Queue). We got 130mqs from market event to order send in a hot loop on 99.99 percentile. It was fun to optimize and benchmark.

- Tail latency matters. You can have 100ms at the 90th percentile and 10-50ms at the 99.9th percentile. For low latency strategies, this is pure loss. - Tail latency matters even more when markets go crazy. Event rates can jump from 10 per second to 1-2k per second. If your trading engine uses trades or bid/ask events, be ready. For OHLC bars it doesn't matter, but nothing based on OHLC worked for us.

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p.s.

I wouldn't recommend trading to anyone. It's very stressful and exhausting. More importantly, all your hard work disappears like trying to hold sand in your hands. There's very little compounding of your work. Strategies constantly churn. You're always negotiating with managers for fees and API limits. You're always negotiating with managers for fees and API limits. They force you to buy and hold exchange tokens like Binance's BNB just to get slightly better fees, VIP status, or direct API access that bypasses firewalls.

The industry is extremely secretive - it's a zero-sum game with no incentive to share anything. When you meet someone who trades, it's usually hard to have a meaningful conversation. At least that was true for me. All our strategies were small-scale and we couldn't invest all our capital in them. So discussing what we did was basically saying "yes, we print money, here's how you can take it from us".

Overall, I was super lucky. We built a money-printing machine that worked for a few years. But in the end, my co-founder and I decided not to pursue it long-term. One day when yet another strategy stopped working, we just shut down all operations.