All-Weather Adaptive
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Total Return
+898.0%
CAGR
+43.6%
Sharpe
1.56
Max Drawdown
-35.4%
Annual Vol
25.1%
Win Rate
40.4%
Starting Capital
$50K
Fees
7bps RT
Trades
~800
Timeframe
3-Day
Max Leverage
~0.7x
Robustness
2/5
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Strategy
A 4-regime system that reads BTC trend and momentum to dynamically allocate between aggressive longs, cautious longs, hedged L/S, and pure shorts.
Signal Construction
  • Regime detection: BTC price vs 200-day MA + BTC 30d/90d returns
  • Strong bull: BTC above 200MA AND 30d > +5% — long top 10 by 21d momentum at 100%
  • Mild bull: BTC above 200MA AND 30d between -5% and +5% — cautious long 7 at 50%
  • Mild bear: 30d < 0 — 3 longs at 20% + 5 shorts at 30%
  • Hard bear: 30d < -10% AND 90d < -20% — short 10 weakest at 70%
Portfolio Construction
  • Positions: 3 to 10 depending on regime
  • Weighting: Equal weight within each leg, scaled by regime
  • Rebalance: Every 3 days
Risk Management
  • Vol target: ~30% annualised (volatility-scaled)
  • Leverage range: Clipped between 0.1x and 3.0x
  • Regime filter: Built into the strategy — regime determines allocation
Universe
Binance Futures · Top 50 by 30d median vol · $15M+ · Spike ratio < 2.0 · 90d listed · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Regime · Long/Short · 7bps RT fees · 3-Day rebalance · Vol-targeted leverage
Result
$50,000 → $499,000 over 6.4 years
Equity Curve — $50K start (2020 – 2026)

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
Robustness Checks — 2/5 passed
Sample Size
800 trades — statistically robust sample
Regime Testing
Profitable in 6/7 years tested; 2022 bear market: +6.4%
Decay Analysis
Performance decay detected — first half avg Sharpe 1.60, second half 0.52 (33% retention)
Monte Carlo
Not significant (p=0.313) — 31.3% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
Walk-Forward OOS
IS Sharpe 1.66 (2020-2022), OOS Sharpe 0.52 (2023-2026) — performance degraded out of sample
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Monthly heatmaps and trade breakdowns are available on the Researcher plan.
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Monthly Returns
Best & Worst Trades
Top 20 Trades
#CoinEntry → ExitReturn
1CHZ (LONG)2021-02-18 → 2021-04-04+1238.2%
2ZEC (LONG)2025-09-26 → 2025-11-21+910.6%
3WIF (LONG)2024-02-24 → 2024-04-12+790.8%
4DOGE (LONG)2021-01-28 → 2021-02-18+693.4%
51000PEPE (LONG)2024-02-24 → 2024-03-25+577.0%
61000SHIB (LONG)2021-09-28 → 2021-11-21+532.9%
7M (LONG)2025-08-29 → 2025-09-28+453.3%
8GALA (LONG)2021-11-15 → 2021-12-15+435.7%
9FIL (LONG)2021-03-12 → 2021-04-16+332.4%
10AXS (LONG)2021-03-01 → 2021-04-04+320.8%
11FET (LONG)2024-02-18 → 2024-03-28+315.0%
12BNB (LONG)2021-02-06 → 2021-03-14+288.7%
13PENGU (LONG)2025-06-27 → 2025-08-05+264.3%
14AAVE (LONG)2021-01-13 → 2021-02-15+257.3%
15XLM (LONG)2024-11-14 → 2024-12-11+249.9%
16ETC (LONG)2021-04-07 → 2021-05-19+233.3%
17XRP (LONG)2024-11-14 → 2024-12-20+230.2%
18HBAR (LONG)2024-11-17 → 2024-12-23+223.8%
19DOT (LONG)2020-12-29 → 2021-02-06+208.8%
20CRV (LONG)2021-01-17 → 2021-02-12+206.8%
Bottom 20 Trades
#CoinEntry → ExitReturn
1GIGGLE (SHORT)2025-11-05 → 2025-11-06-153.1%
2M (SHORT)2025-08-28 → 2025-09-28-89.9%
3XPL (LONG)2025-09-28 → 2025-10-10-71.0%
4GALA (SHORT)2022-01-23 → 2022-02-07-61.3%
5ETC (LONG)2021-05-07 → 2021-05-19-55.7%
6UNI (SHORT)2021-05-24 → 2021-05-28-52.2%
7SPK (LONG)2025-07-24 → 2025-08-14-51.2%
8AVAX (LONG)2021-02-11 → 2021-03-02-50.6%
9WIF (LONG)2024-07-22 → 2024-08-04-49.0%
10WLD (SHORT)2024-07-13 → 2024-07-17-46.2%
11FIL (SHORT)2021-05-20 → 2021-06-03-45.3%
12DASH (LONG)2025-11-05 → 2025-11-12-44.4%
131000SHIB (LONG)2021-10-28 → 2021-11-21-44.1%
14XRP (LONG)2021-04-15 → 2021-04-25-43.7%
15W (LONG)2025-10-07 → 2025-10-10-43.4%
16BIO (LONG)2025-08-23 → 2025-09-10-42.7%
171000BONK (LONG)2024-03-05 → 2024-03-22-42.5%
18VIRTUAL (LONG)2025-01-02 → 2025-01-13-42.2%
19PUMP (LONG)2025-09-16 → 2025-09-25-41.9%
20AXS (SHORT)2021-05-24 → 2021-05-31-41.5%

Loot-Fi publishes historical backtesting research for educational purposes only. Nothing on Loot-Fi constitutes financial advice, a recommendation to buy or sell any asset, or an invitation to invest. Past performance in backtesting does not guarantee future results. All trading involves risk, including the loss of your entire investment. You should consult a licensed financial adviser before making any investment decisions.

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