BTC 200-Day Trend
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Total Return
+369.1%
CAGR
+27.5%
Sharpe
0.94
Max Drawdown
-41.9%
Annual Vol
31.1%
Win Rate
28.5%
Starting Capital
$50K
Fees
7bps RT
Trades
~16
Timeframe
Daily
Max Leverage
~1.5x
Robustness
0/5
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Strategy
Long BTC when price is above the 200-day moving average, with tiered sizing based on the golden cross (50MA > 200MA).
Signal Construction
  • Primary filter: price > 200-day MA
  • Golden cross: 50-day MA > 200-day MA
  • Full signal: price > 200MA AND 50MA > 200MA — full leverage
  • Half signal: price > 200MA but 50MA < 200MA — half leverage
  • No signal: price < 200MA — position = 0 (cash)
Portfolio Construction
  • Asset: BTC only (single-asset backtest)
  • Entry: When price crosses above 200MA. Exit: When price drops below 200MA
Risk Management
  • Vol target: ~30% annualised (volatility-scaled) — leverage = 0.40 / realised_vol_60d
  • Leverage range: Clipped at max 2.0x
  • Fees: 7 bps round-trip
  • No regime filter — this IS the regime signal
Universe
BTC only · Binance Futures · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Trend Following · Long Only · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $234,563 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 — 0/5 passed
✗
Sample Size
16 trades — insufficient for reliable conclusions
✗
Regime Testing
Profitable in 3/5 years tested
✗
Decay Analysis
Performance decay detected — first half avg Sharpe 1.40, second half 0.80 (57% retention)
✗
Monte Carlo
Not significant (p=0.216) — 21.6% of random timing strategies produced similar results. Returns may reflect market beta rather than timing skill
✗
Walk-Forward OOS
IS Sharpe 0.86 (2020-2022), OOS Sharpe 0.79 (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

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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