I Backtested What Actually Predicts CS2 Skin Returns (And Caught My Own Tool Lying to Me)

Описание и применение

Автор провёл бэктест сигналов рынка CS2, выявив, что инвертированный моментум, снятые из оборота кейсы и низкие цены предсказывают доходность после комиссии Steam. Были обнаружены и исправлены две ошибки в модели бэктеста.

Задача

Determine whether market signals such as momentum, case retirement, and price level predict CS2 skin returns after Steam’s 15% fee.

Результат

Inverted momentum predicts negative returns; retired cases yield +48% gross (+25.8% after fee); low‑price items outperform high‑price ones; no short‑term strategy clears the fee; two bugs (future leakage and fee miscalculation) were identified and fixed.

Рабочий процесс

• Collect 3‑year price history via SkinVault’s cache
• Compute candidate factors (momentum, price level, case‑retirement status, etc.)
• Calculate information coefficient (IC) for each factor against future returns (7, 30, 90, 365 days) cross‑sectionally on the same date
• Identify significant predictors and quantify their ICs
• Validate backtest logic by re‑running after each code change
• Document bugs and correct them
• Publish findings and source code

Доказательства

I built a tool to track my own CS2 (Counter-Strike 2) skin inventory — what it's worth, what I actually made after the Steam Market's 15% fee.

Источник

For each candidate factor (momentum, price level, case-retirement status, and a few others), I measured its information coefficient (IC): the rank correlation, across items on the same date, between the factor's value and the item's return over some later horizon (7, 30, 90, 365 days).

Источник

Finding 1: momentum is inverted… Items that had just risen went on to perform worse than items that hadn't, at every horizon I tested from 7 days out to a year.

Источник

Finding 2: retired cases are the one edge that survives the fee… cases that had been pulled from the active drop pool returned a median +48% per year (+25.8% after the fee).

Источник

Finding 3: price is a ceiling… Items under R$1 returned a median +73% over a year; items above R$500 returned +8.7%.

Источник

The backtest caught two bugs in itself… A fee miscalculation. The portfolio fee model treated Steam's cut as a percentage of the buy price rather than the sell price.

Источник

Survivorship bias. The dataset only covers items that still trade.

Источник