Alpha Stacking — Combine Uncorrelated Crypto Strategies

Stack: Aggressive Growth

Total Return

+8503.6%

CAGR

+105.9%

Sharpe

2.01

Max Drawdown

-24.0%

Annual Vol

52.8%

Win Rate

66.2%

Starting Capital

$50K

Fees

7bps RT

Strategies

3

Rebalance

Monthly

Strategy

Maximum returns stack combining A high-conviction breakout and momentum strategies. Turtle Fast (40%) catches early trend entries, Time-Series Momentum (52%) provides diversified trend exposure across all coins independently, with small allocations to VWAP+RVOL and Gap Volume for daily momentum signals. Achieves a 2.0 Sharpe through uncorrelated signal sources despite aggressive positioning.

Key Takeaway

Despite holding some of Highly volatile strategies individually, combining them cuts max drawdown from -64.8% to just -24.0% — a 40 percentage point improvement.

The stack actually returns MORE than any individual component (+105.9% vs best individual +99.1%) while the Sharpe ratio jumps from an average of 1.35 to 2.01.
This is diversification at its best — uncorrelated signals compound returns while cancelling out drawdowns.

Result

$50,000 → $4,301,808 over 6.2 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
Turtle 10-5 Fast	+93.6%	1.70	-46.5%	Long Only	Daily	40%
Time-Series Momentum	+99.1%	1.27	-35.9%	Long/Short	Weekly	50%
Gap Volume Long	+75.6%	1.07	-64.8%	Long Only	Daily	10%

Strategy Correlations

	Turtle 10-5 Fast	Time-Series Momentum	Gap Volume Long
Turtle 10-5 Fast	1.00	+0.40	+0.53
Time-Series Momentum	+0.40	1.00	+0.25
Gap Volume Long	+0.53	+0.25	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns

Stack: Max Diversification

Total Return

+1862.6%

CAGR

+62.0%

Sharpe

1.97

Max Drawdown

-13.1%

Annual Vol

31.5%

Win Rate

59.5%

Starting Capital

$50K

Fees

7bps RT

Strategies

5

Rebalance

Monthly

Strategy

Maximum diversification across 6 strategies spanning BTC trend following, cross-sectional momentum, short-only bear protection, large-cap trend, regime-adaptive, and hedged breakouts. A low max drawdown of any stack at just -14.6%, achieved by combining strategies that profit in different market environments. When breakouts fail in bears, the short and regime strategies compensate.

Key Takeaway

A low drawdown of -13.1%, compared to -53.3% for the worst individual component.

By spreading across 5 strategies that include BTC trend following, cross-sectional momentum, short-only bear protection, large-cap trends, and regime-adaptive allocation, the portfolio survives every market environment.
The Sharpe ratio of 1.97 is 60% higher than the average individual Sharpe of 1.23.

Result

$50,000 → $981,296 over 6.2 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
Btc Quarterly Momentum	+36.7%	1.24	-30.7%	Long Only	Daily	10%
Time-Series Momentum	+99.1%	1.27	-35.9%	Long/Short	Weekly	25%
Short Overextended Bear	+18.1%	0.68	-40.8%	Short Only	5-Day	15%
Large Cap Ema Ribbon	+73.1%	1.26	-53.3%	Long Only	Weekly	10%
All-Weather Adaptive	+49.8%	1.72	-36.6%	Long/Short	3-Day	40%

Strategy Correlations

	Btc Quarterly Moment	Time-Series Momentum	Short Overextended B	Large Cap Ema Ribbon	All-Weather Adaptive
Btc Quarterly Moment	1.00	+0.43	-0.11	+0.43	+0.54
Time-Series Momentum	+0.43	1.00	+0.03	+0.46	+0.42
Short Overextended B	-0.11	+0.03	1.00	-0.07	+0.07
Large Cap Ema Ribbon	+0.43	+0.46	-0.07	1.00	+0.35
All-Weather Adaptive	+0.54	+0.42	+0.07	+0.35	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns

Stack: All-Weather

Total Return

+805.8%

CAGR

+43.0%

Sharpe

1.76

Max Drawdown

-17.0%

Annual Vol

24.4%

Win Rate

60.8%

Starting Capital

$50K

Fees

7bps RT

Strategies

4

Rebalance

Monthly

Strategy

Designed to perform in any market regime. All-Weather Adaptive (40%) handles regime detection, Trend+Anti-Trend (34%) provides dual signal diversification, Short Overextended (20%) adds bear market alpha, with small BTC momentum and hedged breakout allocations. Targets consistent returns with minimal drawdowns across bull, bear, and choppy markets.

Key Takeaway

Built to perform in any market regime.

While BTC Monthly Momentum alone returns +63.9% CAGR, its -47.8% drawdown would be painful to stomach.
This stack delivers +43.0% CAGR with only -17.0% max drawdown — cutting the worst-case loss by 30 percentage points.
The short overextended bear component (25% allocation) acts as insurance, profiting during the exact periods when the long strategies struggle.

Result

$50,000 → $452,882 over 6.2 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
All-Weather Adaptive	+49.8%	1.72	-36.6%	Long/Short	3-Day	30%
Trend Anti-Trend Combo	+40.2%	1.61	-29.1%	Long Only	Daily	35%
Short Overextended Bear	+18.1%	0.68	-40.8%	Short Only	5-Day	25%
Btc Monthly Momentum	+63.9%	1.31	-47.8%	Long Only	Daily	10%

Strategy Correlations

	All-Weather Adaptive	Trend Anti-Trend Com	Short Overextended B	Btc Monthly Momentum
All-Weather Adaptive	1.00	+0.54	+0.07	+0.60
Trend Anti-Trend Com	+0.54	1.00	-0.13	+0.62
Short Overextended B	+0.07	-0.13	1.00	-0.02
Btc Monthly Momentum	+0.60	+0.62	-0.02	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns

Stack: Conservative

Total Return

+579.2%

CAGR

+36.4%

Sharpe

1.71

Max Drawdown

-15.4%

Annual Vol

21.3%

Win Rate

63.5%

Starting Capital

$50K

Fees

7bps RT

Strategies

4

Rebalance

Monthly

Strategy

Capital preservation focused. Vol-Scaled Turtle (56%) provides trend exposure with automatic volatility reduction, Conservative All-Season (20%) uses small positions with strict regime filters, Short Low Vol Downtrend (23%) adds bear market hedge, and BTC Dual Momentum provides additional trend confirmation. Prioritises protecting capital over maximising returns.

Key Takeaway

The capital preservation stack.

Every component is designed to be defensive, yet combined they still deliver +36.4% CAGR — well above most traditional portfolios.
Max drawdown of -15.4% means the worst period would lose less than what many single strategies lose in a bad month.
The Sharpe of 1.71 is 42% higher than the average component Sharpe of 1.20, showing the power of combining defensive strategies.

Result

$50,000 → $339,612 over 6.2 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
Conservative All-Season	+35.0%	1.34	-25.5%	Long/Short	3-Day	20%
Vol-Scaled Turtle	+39.6%	1.59	-28.0%	Long Only	Daily	45%
Btc Dual Momentum V2	+32.7%	1.19	-33.1%	Long Only	Daily	10%
Short Low Vol Downtrend	+19.4%	0.68	-52.5%	Short Only	5-Day	25%

Strategy Correlations

	Conservative All-Sea	Vol-Scaled Turtle	Btc Dual Momentum V2	Short Low Vol Downtr
Conservative All-Sea	1.00	+0.65	+0.56	-0.15
Vol-Scaled Turtle	+0.65	1.00	+0.64	-0.21
Btc Dual Momentum V2	+0.56	+0.64	1.00	-0.09
Short Low Vol Downtr	-0.15	-0.21	-0.09	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns

Stack: Balanced

Total Return

+997.6%

CAGR

+47.5%

Sharpe

1.62

Max Drawdown

-17.6%

Annual Vol

29.4%

Win Rate

59.5%

Starting Capital

$50K

Fees

7bps RT

Strategies

4

Rebalance

Monthly

Strategy

A balanced mix of long breakouts with built-in hedge (Hedged Breakout 37%), regime-adaptive momentum that shifts L/S allocation (Regime 24%), simple BTC trend following (6%), and short-only bear protection (33%). Provides steady compounding with meaningful crash protection. The short allocation is larger than typical to ensure the portfolio survives extended bear markets.

Key Takeaway

A practical middle ground: hedged breakouts, regime-adaptive momentum, BTC trend following, and short-only bear protection.

Regime-Adaptive alone returns +78.6% but with -56.0% drawdown.
This stack captures +47.5% CAGR while limiting drawdown to -17.6% — a 38 percentage point improvement in worst-case loss.
The 30% short allocation provides meaningful crash protection without dragging returns in bull markets.

Result

$50,000 → $548,793 over 6.2 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
Hedged Breakout	+35.2%	1.46	-27.5%	Long/Short	Daily	35%
Regime-Adaptive	+78.6%	1.33	-56.0%	Long/Short	Weekly	25%
Btc Monthly Momentum	+63.9%	1.31	-47.8%	Long Only	Daily	10%
Short Overextended Bear	+18.1%	0.68	-40.8%	Short Only	5-Day	30%

Strategy Correlations

	Hedged Breakout	Regime-Adaptive	Btc Monthly Momentum	Short Overextended B
Hedged Breakout	1.00	+0.67	+0.65	-0.04
Regime-Adaptive	+0.67	1.00	+0.64	-0.09
Btc Monthly Momentum	+0.65	+0.64	1.00	-0.02
Short Overextended B	-0.04	-0.09	-0.02	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns

Alpha Stack 3x

Total Return

+3141.8%

CAGR

+75.8%

Sharpe

2.04

Max Drawdown

-14.4%

Annual Vol

37.1%

Win Rate

59.5%

Starting Capital

$50K

Fees

7bps RT

Strategies

3

Rebalance

Monthly

Strategy

Combines 3 uncorrelated strategies to maximise risk-adjusted returns. Allocations optimised via Monte Carlo Sharpe maximisation. Components: All-Weather Adaptive (24%), Breakout Rvol Donchian (41%), Time-Series Momentum (35%). The portfolio achieves a higher Sharpe ratio than any individual strategy by diversifying across different signal types, timeframes, and market regimes.

Key Takeaway

A strong Sharpe ratio of 2.04.

Adding All-Weather Adaptive (25%) to the two breakout/momentum strategies provides regime detection that reduces exposure during bear markets.
Max drawdown drops to just -14.4% while maintaining +75.8% CAGR.
The three strategies have low enough correlation that losses in one are typically offset by gains in another.

Result

$50,000 → $1,620,884 over 6.2 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
All-Weather Adaptive	+49.8%	1.72	-36.6%	Long/Short	3-Day	25%
Breakout Rvol Donchian	+61.3%	1.58	-34.9%	Long Only	Daily	40%
Time-Series Momentum	+99.1%	1.27	-35.9%	Long/Short	Weekly	35%

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns